Recovery Rate
From Open Risk Manual
Definition
Recovery Rate (RR) captures the uncertainty about the actual financial recovery that will occur given a Credit Event of a borrower. It is calculated as the ratio of the recovery on an exposure due to the default of a counterparty to the amount outstanding at default[1]
The recovery rate is a metric complementary to Loss Given Default and entries in the LGD Models Category cover both topics.
References
- ↑ Directive 2006/48/EC Of the European Parliament and of the Council
