The Valuation of Credit Spread Option under a Random Recovery Rate of Markov Chain Model;
随机挽回率马尔可夫链模型下信用差价衍生品定价
LGD is one of the key parameters of IRB and the factors influencing the recovery rate should be well considered as the basis of the accurate calculation of LGD.
因此,以违约挽回率(1-LGD)的影响因素为切入点,比较研究各国银行业信贷违约挽回率影响因素或成因以及对我国银行不良资产问题。
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