Articlegreen2005

Extensions to the Gaussian copula: random recovery and random factor loadings

336 citations0/0 files storedThe Journal of Credit Risk

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Credit Risk and Financial Regulations

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ABSTRACT This paper presents two new models of portfolio default loss that extend the standard Gaussian copula model yet preserve tractability and computational efficiency. In one extension, we randomize recovery rates, explicitly allowing for the empirically well-established effect of inverse correlation between recovery rates and default frequencies.

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