Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures-Reference-Cited by-同舟云学术

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Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Duellmann Klaus,Trapp Monika

Publisher

Elsevier BV

Reference28 articles.

1. Understanding the Recovery Rates on Defaulted Securities

2. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*

3. Measuring loss on defaulted bank loans: A 24-year study;E Asarnow;The Journal of Commercial Lending,1995

4. Basel Committee on Banking Supervision;The New Basel Capital Accord, Third Consultative Document,2003

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1. Is the regulatory downturn LGD adequate? Performance analysis and alternative methods;Journal of the Operational Research Society;2021-09-22

2. Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model;The Journal of Risk;2020-04

3. An internal default risk model: simulation of default times and recovery rates within the new Fundamental Review of the Trading Book framework;J RISK;2020

4. Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models;Journal of the Royal Statistical Society: Series A (Statistics in Society);2019-04-29

5. Credit Value Adjustment with Market-implied Recovery;Journal of Financial Services Research;2018-05-01

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