We model the conditional probability distribution of trading prices of defaulted large-US-corporate debt given the time since default, the position of the debt on the balance sheet, collateral quality, and economy and industry-wide default rates. The model is based on a maximum expected utility...

We consider the 12-month moving average aggregate default rate of Samp;P-rated US-bonds. We estimate the conditional probability distribution of this default rate as a function of a weighted average bond rating, a lagged default rate and a preliminary predictor that is based on lagged new...