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Investigating the sources of default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001

Persistent link: https://www.econbiz.de/10001573166

Recovery in default risk modeling : theoretical foundations and empirical applications

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001

Persistent link: https://www.econbiz.de/10001613473

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1987

Persistent link: https://www.econbiz.de/10003378503

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008

Persistent link: https://www.econbiz.de/10003718458

Decoding default risk : a review of modeling approaches, findings, and estimation methods

Bakshi, Gurdip S.; Gao, Xiaohui; Zhong, Zhaodong - In: Annual review of financial economics 14 (2022), pp. 391-413

Persistent link: https://www.econbiz.de/10013461162

Pricing the Risk of Recovery in Default with APR Violation

Unal, Haluk; Madan, Dilip; Güntay, Levent - Financial Institutions Center, Wharton School of Business - 2001

This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of absolute priority rule (APR). The paper...

Persistent link: https://www.econbiz.de/10005794309