PD-LGD correlation study: Evidence from the Russian corporate bond market-Reference-Cited by-同舟云学术

PD-LGD correlation study: Evidence from the Russian corporate bond market

Published:2017-12-07 Issue:4 Volume:12 Page:335-358
ISSN:1574-1699
Container-title:Model Assisted Statistics and Applications
language:
Short-container-title:MAS

Author:

Ermolova M.D.¹,Penikas H.I.²

Affiliation:

1. International Laboratory of Decision Choice and Analysis, National Research University Higher School of Economics, Moscow, Russia

2. Department of Applied Economics, International Laboratory of Decision Choice and Analysis, National Research University Higher School of Economics, Moscow, Russia

Publisher

IOS Press

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. Altman, E. I. (2006). Default recovery rates and LGD in credit risk modeling and practice: An updated review of the literature and empirical evidence. New York University, Stern School of Business.

2. The link between default and recovery rates: Theory, empirical evidence, and implications;Altman;The Journal of Business,2005

3. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;The Journal of Finance,1968

4. Antonova, E. (2013). The estimation of recovery rate for corporate bonds of Russian issuers. Ph.D. Thesis. Higher School of Economics, Moscow, Russia.

5. Measuring LGD on commercial loans: An 18-year internal study;Araten;RMA Journal,2004

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