Probability and evidence

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Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece

The 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 quantile regression and the simultaneous quantile regression. These methods allow to determinate...

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dependence of default probability and recovery rate in structural credit risk models: empirical evidence from greece

the 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 quantile regression and the simultaneous quantile regression. these methods allow to determinate...

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ژورنال

عنوان ژورنال: Advances in Mathematics

سال: 1987

ISSN: 0001-8708

DOI: 10.1016/0001-8708(87)90040-5