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The Dependence of Recovery Rates and Defaults · Study

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PreprintThe Dependence of Recovery Rates and Defaults

William Robert Maurice Perraudin2011

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Preprintgreen2011

The Dependence of Recovery Rates and Defaults

William Robert Maurice Perraudin · Yen-Ting Hu

112 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1997Modelling Extremal Events 1997A Markov Model for the Term Structure of Credit Risk Spreads 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds 1994Using Default Rates to Model the Term Structure of Credit Risk 2000The intersection of market and credit risk 2001Tail-Index Estimates in Small Samples 1991Corporate bond valuation and the term structure of credit spreads 2008A Markov Model for the Term Structure of Credit Risk Spreads

Cited by

2011The determinants of bank loan recovery rates 2004On the way to recovery: A nonparametric bias free estimation of recovery rate densities 2008& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications 2005Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers 2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence

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2008& The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implicationschapter · 4 shared references 2003A multi-factor, credit migration model for sovereign and corporate debtsarticle · 4 shared references 2002A hidden Markov chain model for the term structure of bond credit risk spreadsarticle · 4 shared references 20032005), “The Link between Default and Recovery Ratesreport · 4 shared references 2012Default Recovery Rates and Lgd in Credit Risk Modelling and Practicechapter · 4 shared references 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidencearticle · 3 shared references

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Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations112

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1961142

openalex_workW1526545658

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2013

Ultimate recovery mixtures

2004Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures

2003Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence