Author = Derbali, A.
Number of Articles: 2
Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece
Volume 5, Issue 2 , April 2015, , Pages 141-158
AbstractThe main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped ... Read More
Volume 2, Issue 4 , October 2012, , Pages 271-292