The current standardized approach for assessing credit risk under Basel III depends on ratings assigned by credit rating agencies (CRAs). However, this approach presents three problems. First, the definitions of ratings used by CRAs to assess the likelihood of default and recovery rates are not...

The quantification of the recovery rate for the debt of the defaulted small company is one of the most important problems for banks and their supervisors. However the data of the real recovery rates is seldom available for academic study. Therefore there have been a few studies for the recovery...