English, Article, Journal or magazine article edition: On Models of Stochastic Recovery for Base Correlation Li, Hui

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Bookmark: http://trove.nla.gov.au/version/105015
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On Models of Stochastic Recovery for Base Correlation
Author
  • Li, Hui
Physical Description
  • preprint
Notes
  • This paper discusses various ways to add correlated stochastic recovery to the Gaussian Copula base correlation framework for pricing CDOs. Several recent models are extended to more general framework. It is shown that, conditional on the Gaussian systematic factor, negative forward recovery rate may appear in these models. This suggests that current static copula models of correlated default and recovery processes are inherently inconsistent.
  • CDO, Gaussian Copula, Base Correlation, Stochastic Recovery, Correlated Loss Given Default
  • RePEc:pra:mprapa:15750
Language
  • English
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