22 citations · 25 across the 2 of their papers we have counts for
3 papers
q-fin.RM2012★ 3 cited
Empirical Evidence for the Structural Recovery Model
Alexander Becker, Alexander F. R. Koivusalo, Rudi Schäfer
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of d…
q-fin.RM2011★ 22 cited
Dependence of defaults and recoveries in structural credit risk models
Rudi Schäfer, Alexander F. R. Koivusalo
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in…
q-fin.RM2011
Calibration of structural and reduced-form recovery models
Alexander F. R. Koivusalo, Rudi Schäfer
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed…