Showing 1 - 10 of 34
We examine recovery rates of defaulted bonds in the US corporate bond market, based on a complete set of traded prices and volumes. A study of the trading microstructure around various types of default events is provided. We document temporary price pressure with high trading volumes on the...
Persistent link: https://www.econbiz.de/10010906189
Persistent link: https://www.econbiz.de/10009622452
We investigate whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity eects are more pronounced in periods of nancial crises, especially for bonds with high credit risk, using a unique data set covering more than 20,000 bonds,...
Persistent link: https://www.econbiz.de/10013080010
Persistent link: https://www.econbiz.de/10002682747
We suggest a new parametric framework to assess the accuracy of estimated default probabilities (PDs). Whereas the traditional methods to validate credit rating systems focus primarily on the discriminatory power, recent advances in credit risk management and banking regulation has shifted the...
Persistent link: https://www.econbiz.de/10014214620
Persistent link: https://www.econbiz.de/10008668596
Persistent link: https://www.econbiz.de/10003749198
In this study, we empirically analyze the determinants of heterogeneity in rating assessments across different segments of the European loan market. We conduct a benchmarking analysis using rating information on European corporate obligors from nine major Austrian banks that have a large share...
Persistent link: https://www.econbiz.de/10013138613
Persistent link: https://www.econbiz.de/10001497906
Persistent link: https://www.econbiz.de/10000992592