Dependent default and recovery: Markov chain Monte Carlo study of downturn loss given default credit risk model

DOI10.21914/ANZIAMJ.V53I0.5080MaRDI QIDQ4638469zbMATH OpenOpenAlexFDO

Authors Pavel V. Shevchenko, Xiaolin Luo

Publication date 8 May 2018

Published in ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21914/anziamj.v53i0.5080

zbMATH Keywords

Markov chain Monte CarloBayesian inferencecredit risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

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• Systematic effects among loss given defaults and their implications on downturn estimation
• Computing optimal recovery policies for financial markets
• Bayesian inference for credit risk with serially dependent factor model
• Downturn loss given default: mixture distribution estimation

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