The Link Between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality-Reference-Cited by-同舟云学术

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The Link Between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

Published:2002 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Sironi Andrea,Altman Edward I.,Brady Brooks,Resti Andrea

Publisher

Elsevier BV

Reference66 articles.

1. Measuring Corporate Bond Mortality and Performance;Edward I Altman;Journal of Finance,1989

2. Altman High Yield Bond and Default Study;Edward I Altman;Fixed Income High Yield Report,2001

3. Defaults and Returns in the High Yield Bond Market: Analysis Through;Altman Edward;NYU Salomon Center Working Paper,2001

4. Explaining Aggregate Recovery Rates on Corporate Bond Defaults;Edward I Altman;Working Paper Series,2002

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. 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

2. Internal Default Risk Model: Simulation of Default Times And Recovery Rates within the New FRTB Framework;SSRN Electronic Journal;2018

3. References;Active Credit Portfolio Management in Practice;2011-11-29

4. The Direct Relevance of Accounting Information for Credit Default Swap Pricing;Journal of Business Finance & Accounting;2011-11

5. Literature Review on Basel II Banking Regulation;SSRN Electronic Journal;2010

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