Quantitative Research Webinar Series: Recovery Correlation Dynamics
The credit portfolio framework developed by Moody’s Analytics accounts for links between default risk and recovery risk. We refer to these links as PD-LGD correlations.
GCorr 2016 LGD leverages similar methodology for estimating parameters as the previous version of the PD-LGD correlation model, with some modifications required due to the nature of new data. While the previous version of the PD-LGD correlation model employed data provided by Moody’s Analytics LossCalc2.0 model, GCorr 2016 LGD utilizes LossCalc4.0 output data as well as the default-recovery database (DRD). In addition to differing data sources, GCorr 2016 LGD incorporates more recent data than the previous model, including the effects of the financial crisis of 2008-2009.
Webinar Highlights:
- Empirical patterns in recovery dynamics over recent periods
- New estimation of parameters describing link between defaults and recoveries
- Impact of the new parameters on portfolio risk metrics.
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Moody's Analytics Webinar: RiskFrontier™ 5.3 and 5.4 Release and GCorr™ 2018 Update
Moody's Analytics is pleased to announce the release of versions 5.3 and 5.4 of the RiskFrontier software. The latest version includes the following enhancements:
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