Systematic risk in recovery rates: an empirical analysis of US corporate credit exposures
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Dt. Bundesbank, Press and Public Relations Div.
2004
|
| Schriftenreihe: | Discussion paper / Deutsche Bundesbank : Ser. 2, Banking and financial supervision
2004,2 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 36 - 38 |
| Beschreibung: | 44 S. graph. Darst. 30 cm |
| ISBN: | 3935821972 |
Internformat
MARC
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| 100 | 1 | |a Düllmann, Klaus |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Systematic risk in recovery rates |b an empirical analysis of US corporate credit exposures |c Klaus Düllmann ; Monika Trapp Deutsche Bundesbank |
| 264 | 1 | |a Frankfurt am Main |b Dt. Bundesbank, Press and Public Relations Div. |c 2004 | |
| 300 | |a 44 S. |b graph. Darst. |c 30 cm | ||
| 336 | |b txt |2 rdacontent | ||
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| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Discussion paper / Deutsche Bundesbank : Ser. 2, Banking and financial supervision |v 2004,2 | |
| 500 | |a Literaturverz. S. 36 - 38 | ||
| 700 | 1 | |a Trapp, Monika |e Verfasser |4 aut | |
| 810 | 2 | |a Deutsche Bundesbank |t Discussion paper |v Ser. 2, Banking and financial supervision ; 2004,2 |w (DE-604)BV017940023 |9 2004,2 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013371683&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-013371683 | |
Datensatz im Suchindex
| _version_ | 1816445394025971712 |
|---|---|
| adam_text |
CONTENTS
1
INTRODUCTION
1
2
EMPIRICAL
LITERATURE
ON
SYSTEMATIC
RISK
IN
RECOVERY
RATES
3
3
MODEL
AND
ESTIMATION
PROCEDURE
5
3.1
MODEL
SETUP
.
5
3.2
ESTIMATION
PROCEDURE
.
8
4
DATA
12
4.1
DATABASE
.
12
4.2
DESCRIPTIVE
ANALYSIS
.
14
5
EMPIRICAL
RESULTS
17
5.1
MAXIMUM
LIKELIHOOD
ESTIMATION
OF
ASSET
CORRELATION
AND
PD
.
17
5.2
ESTIMATION
RESULTS
FOR
RECOVERY
RATES
FOR
A
LOGIT-NORMAL,
A
NORMAL
AND
A
LOG-NORMAL
DISTRIBUTION
.
19
5.3
IMPACT
OF
THE
RECOVERY
DEFINITION
.
22
5.4
SENSITIVITY
OF
RECOVERY
RATES
TO
SYSTEMATIC
RISK
.
24
6
IMPLICATIONS
FOR
ECONOMIC
CAPITAL
27
7
SUMMARY
AND
CONCLUSIONS
32 |
| any_adam_object | 1 |
| author | Düllmann, Klaus Trapp, Monika |
| author_facet | Düllmann, Klaus Trapp, Monika |
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| building | Verbundindex |
| bvnumber | BV020050744 |
| ctrlnum | (OCoLC)76559305 (DE-599)BVBBV020050744 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV020050744 |
| illustrated | Illustrated |
| indexdate | 2024-11-22T17:41:58Z |
| institution | BVB |
| isbn | 3935821972 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013371683 |
| oclc_num | 76559305 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | 44 S. graph. Darst. 30 cm |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | Dt. Bundesbank, Press and Public Relations Div. |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Ser. 2, Banking and financial supervision |
| spelling | Düllmann, Klaus Verfasser aut Systematic risk in recovery rates an empirical analysis of US corporate credit exposures Klaus Düllmann ; Monika Trapp Deutsche Bundesbank Frankfurt am Main Dt. Bundesbank, Press and Public Relations Div. 2004 44 S. graph. Darst. 30 cm txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Ser. 2, Banking and financial supervision 2004,2 Literaturverz. S. 36 - 38 Trapp, Monika Verfasser aut Deutsche Bundesbank Discussion paper Ser. 2, Banking and financial supervision ; 2004,2 (DE-604)BV017940023 2004,2 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013371683&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Düllmann, Klaus Trapp, Monika Systematic risk in recovery rates an empirical analysis of US corporate credit exposures |
| title | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures |
| title_auth | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures |
| title_exact_search | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures |
| title_full | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures Klaus Düllmann ; Monika Trapp Deutsche Bundesbank |
| title_fullStr | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures Klaus Düllmann ; Monika Trapp Deutsche Bundesbank |
| title_full_unstemmed | Systematic risk in recovery rates an empirical analysis of US corporate credit exposures Klaus Düllmann ; Monika Trapp Deutsche Bundesbank |
| title_short | Systematic risk in recovery rates |
| title_sort | systematic risk in recovery rates an empirical analysis of us corporate credit exposures |
| title_sub | an empirical analysis of US corporate credit exposures |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013371683&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017940023 |
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