The link between default and recovery rates: Theory, empirical evidence and implications

This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002.(...)

MoreLess

Year of publication:	2003-03-01
Authors:	Altman, Edward I. ; Brady, Brooks ; Resti, Andrea ; Sironi, Andrea
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> / Credit & Debt Markets Research Program
Subject:	Kreditrisiko \| Bonität Rating \| Kreditgewährung \| Kapitalbedarf \| Super-replication

More details

Extent:	1021952 bytes 27 p. application/pdf
Series:	Salomon Center for the Study of Financial Institutions <New York, NY> - Publiacations Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program ; 2003,15 auch: Journal of Business, 2005, vol. 78, no. 6, 2203-2227
Type of publication:	Book / Working Paper
Language:	English
Classification:	G15 - International Financial Markets ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846818