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On the Performance of Recovery Rate Modeling

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Computational Science and Its Applications - ICCSA 2006 (ICCSA 2006)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 3982))

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Abstract

To ensure accurate predictions of loss given default it is necessary to test the goodness-of-fit of the recovery rate data to the Beta distribution, assuming that its parameters are unknown. In the presence of unknown parameters, the Cramer-von Mises test statistic is neither asymptotically distribution free nor parameter free. In this paper, we propose to compute approximated critical values with a parametric bootstrap procedure. Some simulations show that the bootstrap procedure works well in practice.

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Author information

Authors and Affiliations

  1. Department of Management and Finance, University of Murcia, Spain

    J. Samuel Baixauli

  2. Department of Quantitative Methods for the Economy, University of Murcia, Spain

    Susana Alvarez

Authors
  1. J. Samuel Baixauli
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  2. Susana Alvarez
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Editor information

Editors and Affiliations

  1. Department of Computer Science, University of Calgary, 2500 University Drive N.W., T2N 1N4, Calgary, AB, Canada

    Marina Gavrilova

  2. Department of Mathematics and Computer Science, University of Perugia, via Vanvitelli, 1, I-06123, Perugia, Italy

    Osvaldo Gervasi

  3. William Norris Professor, Head of the Computer Science and Engineering Department, University of Minnesota, USA

    Vipin Kumar

  4. OptimaNumerics Ltd., Cathedral House, 23-31 Waring Street, BT1 2DX, Belfast, UK

    C. J. Kenneth Tan

  5. Clayton School of IT, Monash University, 3800, Clayton, Australia

    David Taniar

  6. Department of Chemistry, University of Perugia, Via Elce di Sotto, 8, I-06123, Perugia, Italy

    Antonio Laganá

  7. School of Computing, Soongsil University, Seoul, Korea

    Youngsong Mun

  8. School of Information and Communication Engineering, Sungkyunkwan University, Korea

    Hyunseung Choo

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© 2006 Springer-Verlag Berlin Heidelberg

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Baixauli, J.S., Alvarez, S. (2006). On the Performance of Recovery Rate Modeling. In: Gavrilova, M., et al. Computational Science and Its Applications - ICCSA 2006. ICCSA 2006. Lecture Notes in Computer Science, vol 3982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11751595_112

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  • DOI: https://doi.org/10.1007/11751595_112

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-34075-1

  • Online ISBN: 978-3-540-34076-8

  • eBook Packages: Computer ScienceComputer Science (R0)

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