Random LGD adjustments in the Vasicek credit risk model
提出一个近似公式，通过泰勒展开将回收率与违约率关联，用于度量随机回收下的投资组合信用风险，并用1982-2014年公司债数据验证了准确性，有助于改进巴塞尔资本要求下的风险计量。
This paper proposes an approximate formula to measure the credit risk of portfolios under random recoveries. This formula is based on a Taylor expansion and enables having recoveries that are correlated with the default rates over the business cycle. We show how to calibrate the corresponding models and the accuracy of the approximation using defaulted corporate bonds data for the period 1982–2014. Our results show that the proposed formula can be used to approximate the loss distribution of a portfolio under random correlated recoveries in a very satisfactory way. Moreover, this kind of recovery models could be easily implemented under the Basel capital requirements regulation to improve the credit risk measurement.