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A Two-Factor Model for PD and LGD Correlation
4 references·0 citing·22 second hop
A Two-Factor Model for PD and LGD Correlation (2011)A Two-Factor Model for PD and LGD Correla…Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened (2005)Advancing Loss Given Default …Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures (2004)Systematic Risk in Recovery R…Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Default Recovery Rates in Cre…Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence (2003)International Business Cycles: World, Region, and Country-Specific Factors (2003)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations (2006)Basel Committee On Banking Supervision (2010)Estimating asset correlations from stock prices or default rates—Which method is superior? (2010)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Bank Liquidity Creation (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)An Examination of the Stationarity of Multivariate Bankruptcy Prediction Models: A Methodological Study (1984)Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK (2005)Survival Analysis in LGD Modeling (2012)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Modelling the distribution of credit losses with observable and latent factors (2008)Comparison of modeling methods for Loss Given Default (2011)Understanding the Components of Bank Failure Resolution Costs (2014)
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References

  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence194 cited
  • 2004Systematic Risk in Recovery Rates - an Empirical Analysis of U.S. Corporate Credit Exposures73 cited
  • 2005Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened30 cited

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