Curve Fitting of the Corporate Recovery Rates: The Comparison of Beta Distribution Estimation and Kernel Density Estimation
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چکیده
منابع مشابه
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 estimation, to simulate the distribution of recovery rates of corporate loans and bonds. As is k...
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ژورنال
عنوان ژورنال: PLoS ONE
سال: 2013
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0068238