42 citations · 163 across the 14 of their papers we have counts for
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q-fin.RM2011
Dependent default and recovery: MCMC study of downturn LGD credit risk model
Pavel V. Shevchenko, Xiaolin Luo
There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of t…
q-fin.RM2010
Markov chain Monte Carlo estimation of default and recovery: dependent via the latent systematic factor
Xiaolin Luo, Pavel V. Shevchenko
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the defa…
q-fin.RM2009
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates
Xiaolin Luo, Pavel V. Shevchenko, John B. Donnelly
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distributio…