Single name expected loss.\par The main reason of this method is for the testing of this model. The model is coherent in that it preserves the single name expected loss and thus is coherent with the single name CDS market when used in the pricing context. i.e. it should match: $pdef_i(d) \times RR_i $
Expected conditional spot recovery rate. Conditional on a set of systemic factors and default returns the integrated attainable recovery values. \par Corresponds to a multifactor generalization of the model in eq. 44 on p.15 of Extension of Spot Recovery Model for Gaussian Copula Hui Li. 2009 Only remember that $\rho_l Z $ there is here (multiple betas): $ \sum_k \beta_{ik}^l Z_k $ and that $ \rho_d \rho_l $ there is here: $ \sum_k \beta_{ik}^d \beta_{ik}^l $ \par (d,l corresponds to first and last set of betas)