Default recovery rates in credit risk modeling : A review of the literature and empirical evidence

Evidence from many countries in recent years suggests that collateral values and recovery rates on corporate defaults can be volatile and, moreover, that they tend to go down just when the number of defaults goes up in economic downturns.(...)

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Year of publication:	2003-12-01
Authors:	Altman, Edward ; Resti, Andrea ; Sironi, Andrea
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Kreditrisiko \| Bonität \| validity \| Kapitalerhaltung \| Verlust \| Loss Given Default \| Bonitätsprüfung

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Extent:	290816 bytes 32 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Publications Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program ; 2003,11
Type of publication:	Book / Working Paper
Language:	English
Classification:	G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; Equity financing ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846813