A Multi-Factor Approach for Systematic Default and Recovery Risk

Daniel Rösch and Harald Scheule
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Daniel Rösch: University of Regensburg

Chapter VI. in The Basel II Risk Parameters, 2006, pp 105-125 from Springer

Keywords: Recovery Rate; Systematic Risk; Regulatory Capital; Default Probability; Default Rate (search for similar items in EconPapers)
Date: 2006
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Working Paper: A multi-factor approach for systematic default and recovery risk (2005)
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DOI: 10.1007/3-540-33087-9_6

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