JP Morgan / Risk Management Associates / Robert Morris Associates / /
Country
United States / /
Currency
USD / / /
Event
Bankruptcy / /
IndustryTerm
bank loan / bank regulators / bank credit models / distressed bank / bank credit loss / bank supervisors / capital working / finance / secured bank loans / real estate / customary bank loan / stylised bank / policy / bank lending / quantification systems / capital markets / bank / average bank / bank practices / bank loans / /
MusicGroup
Excel / /
Organization
Federal Reserve Bank of Chicago / International Rugby Board / US Federal Reserve / Basel Committee / IRB / Basel Committee on Banking Supervision / Moody’s Default Risk Service / /
Person
Mark Carey / Paul Calem / Catherine Lemieux / Jon Frye / David Jones / Laura McGrew / Carol Lobbes / Cathy Lemieux / Robert Bliss / Michael Lesiak / Dennis McLaughlin / Dale Klein / Michael Gordy / Richard Cahill / Marc Saidenberg / Lisa Ashley / Matthew Foss / Perry Mehta / Mike Atz / Edmund Waggoner / James Nelson / Edward Altman / /
Position
author at Jon / author / head of the models team / senior economist in the policy group / representative / /
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