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A Multifactor Approach for Systematic Default and Recovery Risk

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References

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2005Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers88 cited
2004An empirical comparison of default risk forecasts from alternative credit rating philosophies76 cited
2004Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures73 cited
2016Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures65 cited
2003Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany58 cited

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2013Is recovery risk priced?33 cited
2007Stress-testing credit risk parameters: an application to retail loan portfolios

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31 cited