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Interpretable machine learning for creditor recovery rates
16 references·0 citing·48 second hop
Interpretable machine learning for creditor recovery rates (2024)Interpretable machine learning for credit…Modeling Corporate Bond Returns (2023)Modeling Corporate Bond Retur…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Characteristics are covariances: A unified model of risk and return (2019)Characteristics are covarianc…Support vector regression for loss given default modelling (2014)Support vector regression for…Accounting Conservatism and Creditor Recovery Rate (2013)Accounting Conservatism and C…The Determinants of Recovery Rates in the US Corporate Bond Market (2012)The Determinants of Recovery …A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices (2012)A Simple Way to Estimate Bid‐…Modeling the Loss Distribution (2011)Modeling the Loss DistributionComparison of modeling methods for Loss Given Default (2011)Comparison of modeling method…Recovery rates, default probabilities, and the credit cycle (2009)Recovery rates, default proba…Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers (2005)Determinants of Recovery Rate…What Do We Know About Loss Given Default? (2004)What Do We Know About Loss Gi…Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Almost Everything You Wanted …A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting bank loans loss-given-default (2010)Systemic Risk in Financial Networks: A Survey (2021)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Information Demand: Evidence from Google Searches Around Earnings Announcements (2011)Corporate social responsibility performance and information asymmetry (2012)Replicating Anomalies (2018)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)The Corporate Bankruptcy Decision (1989)Bank loan losses-given-default: A case study (2005)Loss given default models incorporating macroeconomic variables for credit cards (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Taming the Factor Zoo: A Test of New Factors (2020)Machine learning in the Chinese stock market (2021)Is There a Replication Crisis in Finance? (2023)The Pricing of Options and Corporate Liabilities (1973)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Empirical Analysis of Liquidity (2014)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)The impact of loan loss provisioning on bank capital requirements (2018)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Modeling Term Structures of Defaultable Bonds (1999)Risk Assessment for Banking Systems (2006)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Asset Redeployability Channel: How Uncertainty Affects Corporate Investment (2016)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Economic Catastrophe Bonds (2008)Systemic Risk Contributions (2011)
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References

  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices1,134 cited
  • 2019Characteristics are covariances: A unified model of risk and return807 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 1996Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds483 cited
  • 2004What Do We Know About Loss Given Default?280 cited
  • 2009Recovery rates, default probabilities, and the credit cycle216 cited
  • 2012The Determinants of Recovery Rates in the US Corporate Bond Market160 cited
  • 2011Comparison of modeling methods for Loss Given Default151 cited
  • 2011Modeling the Loss Distribution140 cited
  • 2023Modeling Corporate Bond Returns140 cited
  • 2014Support vector regression for loss given default modelling105 cited
  • 2013Accounting Conservatism and Creditor Recovery Rate90 cited

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  • 2005Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers88 cited
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