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Cyclical effects on loss given default LGD
Cyclical effects on exposure at default EAD
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Altman asset correlations asset values Basel Capital Basel Capital Accord bond prices Borio business cycle Capital Accord capital requirements Charles Goodhart collateral values convenience yield correlated PD correlation between PD countercyclical credit quality ﬁrms credit risk exposure credit risk measurement credit spread CreditMetrics cyclical downturn cyclical effects cyclical factors default correlations default intensity default point default probabilities default risk economic downturns empirical EDF equity prices estimates of default ex post realizations ﬁnancial ﬁnd evidence ﬁrm's ﬁrst ﬁxed ﬂuctuations function high credit quality interest rate risk Jarrow lending leverage liquidity ln contrast loss distribution macroeconomic conditions macroeconomic factors market value Moreover PD and LGD PD correlations PD increases PD levels procyclical property prices proprietary models recessions recovery rates reduced form models relationship between PD Resti and Sironi Richard Cantor risk premium risk-free interest rates signiﬁcant simulated speciﬁcation stochastic structural model Sveriges Riksbank systematic risk factors Table thereby Zhou