Credit risk Collateral damage Most credit risk models focus on default probability, while making simple recovery assumptions for collateralised loans. As Jon Frye shows here, this is a mistake, because

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Date: 2005-12-12 06:15:27 Bank regulation Loss given default Advanced IRB Foundation IRB Probability of default Banking Credit risk Financial risk Exposure at default Financial regulation Basel II Finance		Credit risk Collateral damage Most credit risk models focus on default probability, while making simple recovery assumptions for collateralised loans. As Jon Frye shows here, this is a mistake, because Add to Reading List Source URL: www.bis.org Download Document from Source Website File Size: 129,57 KB Share Document on Facebook

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