In this paper we analyse a comprehensive database of 149,378 recovery rates on Italian bank loans. We investigate a new methodology to compute the recovery percentage that we suggest to consider as a mixed random variable. To estimate the probability density function of such a mixture, we...

Although the kurtosis index proposed by Karl Pearson in 1905 is introduced in statistical textbooks at all levels, the measure is not easily interpreted and has been a subject of considerable debate. In this study, the theoretical development of kurtosis is surveyed from a historical perspective...