Dr. Robert Schulze is a financial risk quantitative analyst at UniCredit Bank AG since 2011. He worked on various topics in the market and counterparty credit risk model development. He followed the Fundamental Review of the Trading Book from its early stages and is currently the main responsible at UniCredit Bank AG for all methodological aspects. He holds a PhD in Theoretical Physics.
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.