Dr. Fabian Reffel is a financial risk quantitative analyst at UniCredit Bank AG since 2014. Beside projects in the counterparty credit risk, he mainly worked in the context of the Fundamental Review of the Trading Book. There, he developed and implemented various methods and models around the new market risk framework in cooperation with UniCredit colleagues. He hold his PhD in Statistics.
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.