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)
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 $
Random spot recovery rate latent variable portfolio model.
See: A Spot Stochastic Recovery Extension of the Gaussian Copula N.Bennani and J.Maetz, MPRA July 2009 Extension of Spot Recovery model for Gaussian Copula H.Li, October 2009, MPRA The model is adpated here for a multifactor set up and a generic copula so it can be used for pricing in single factor mode or for risk metrics in its multifactor version.\par
Rewrite this model: the distribution of the spot recovery given default could be given as a functional of rr_i with the market factors and the rest of methods depend on this. That would offer a family of models.
Implement eq. 45 to have the EL(t) and be able to integrate the model