Helena Wait
Last answered:

25 Oct 2021

 Posted on:

24 Oct 2021
0

Definition of recovery rate

in Credit Risk Modeling in Python / LGD and EAD models: dependent variables

I have a question as to how recovery rate is calculated. Thanks.
recovery rate = recoveries/funded amount  or
recovery rate = recoveries/remaining balance at default

1 answers ( 0 marked as helpful)
Ned Krastev
Instructor
Posted on:

25 Oct 2021
0

Hi Helena,
It should be the first option:
Recovery rate = Recovered amount / Funded amount
Best,
Ned

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