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Curve Fitting of the Corporate Recovery Rates: The Comparison of Beta Distribution Estimation and Kernel Density Estimation
Recovery rate is essential to the estimation of the portfolio’s loss and economic capital. Neglecting the randomness of the distribution of recovery rate may underestimate the risk. The study introduces two kinds of models of distribution, Beta distribution estimation and kernel density distribution...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2013
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3707900/ https://www.ncbi.nlm.nih.gov/pubmed/23874558 http://dx.doi.org/10.1371/journal.pone.0068238 |