University of Münster
Florian Kaposty is a research associate at the Finance Department of the University of Muenster. He holds a Master degree in Mathematical Economics from University of Technology Dortmund. His research interests mainly lie in the field of credit risk modeling with a particular focus on loss given default, including (nonparametric) estimation techniques. His work also includes empirical research on the design and implications of deposit insurance schemes.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…