Aldo Nassigh, (Ph.D 1997, University of Milan) is a Professor of Practice in Market Risks: Measurement and Management at Bocconi University, Milan. Senior Vice President of UniCredit SpA, his main research topics concerns market risk, with current focus on the Low Interest Rate Risk.
An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.