MoneyScience: News item - An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework

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An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework

Journals - Risk.net Tue, 11 Feb 2020 11:45:29 GMT

This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.

Tue, 11 Feb 2020 11:45:29 GMT

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