Chakravarty, Sugato; Kadiyala, Padma - Department of Consumer Sciences and Retailing, Purdue … - 2009
A f irm’s distress r isk can be decomposed into two components: 1) the probability of default on its loan obligations (the likelihood of default) and 2) the amount recovered by bondholders when the firm is in default (the recovery rate).1,2 The goal of this article is to estimate an ex ante...