| | Downloadable Papers (sorted by date) See the top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (Oct-1)
Estimating Bank Loans Loss Given Default by Generalized Additive Models
by Raffaella Calabrese of University of Milano-Bicocca
(836K PDF) -- 18 pages -- October 2012 Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(654K PDF) -- 39 pages -- May 30, 2012 Credit Loss and Systematic LGD
by Jon Frye of the Federal Reserve Bank of Chicago, and
Michael Jacobs, Jr. of the Office of the Comptroller of the Currency
(232K PDF) -- 32 pages -- Spring 2012 Empirical Evidence for the Structural Recovery Model
by Alexander Becker of University of Duisburg-Essen, Germany,
Alexander F.R. Koivusalo of Koivusalo Capital, Sweden, and
Rudi Schäfer of University of Duisburg-Essen, Germany
(163K PDF) -- 18 pages -- March 14, 2012 Sovereign Recovery Schemes: Discounting and risk management issues
by Joe Bonnaud of BNP Paribas,
Laurent Carlier of BNP Paribas,
Jean-Paul Laurent of the Université Paris 1 Panthéon-Sorbonne, and
Jean-Luc Vila - Independent Consultant
(163K PDF) -- 18 pages -- January 5, 2012 Debt Structure, Market Value of Firm, and Recovery Rate
by Min Qi of Office of the Comptroller of the Currency, and
Xinlei Zhao of Office of the Comptroller of the Currency
(640K PDF) -- 31 pages -- October 2011 Using the Censored Gamma Distribution for Modeling Fractional Response Variables with an Application to Loss Given Default
by Fabio Sigrist of ETH Zürich, and
Werner A. Stahel of ETH Zürich
(640K PDF) -- 31 pages -- August 19, 2011 Recovery Rates in Investment-grade Pools of Credit Assets: A large deviations analysis
by Konstantinos Spiliopoulos of Brown University, and
Richard B. Sowers of University of Illinois at Urbana-Champaign
(393K PDF) -- 30 pages -- August 11, 2011 Pitfalls in Modeling Loss Given Default of Bank Loans
by Marc Gürtler of the Braunschweig Institute of Technology, and
Martin Hibbeln of the Braunschweig Institute of Technology
(640K PDF) -- 31 pages -- May 12, 2011 Modeling Ultimate Loss Given Default on Corporate Debt
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency, and
Ahmet K. Karagozoglu of the Hofstra University
(149K PDF) -- 26 pages -- May 2011 Dependence of Defaults and Recoveries in Structural Credit Risk Models
by Rudi Schäfer of the University of Duisburg-Essen, and
Alexander F.R. Koivusalo of Danske Capital
(2,413K PDF) -- 19 pages -- March 30, 2011 Empirical Implementation of a 2-Factor Structural Model for Loss-Given-Default
by Michael Jacobs, Jr. of the Office of the Comptroller of the Currency
(863K PDF) -- 16 pages -- March 2011 Calibration of Structural and Reduced-form Recovery Models
by Alexander F.R. Koivusalo of Danske Capital & the University of Duisburg-Essen, and
Rudi Schäfer of the University of Duisburg-Essen
(452K PDF) -- 16 pages -- February 23, 2011 Default and Recovery Risk Dependencies in a Simple Credit Risk Model
by Benjamin Bade of the University of Hannover,
Daniel Rösch of the University of Hannover, and
Harald Scheule of the University of Melbourne
(618K PDF) -- 16 pages -- January 2011 LGD Credit Risk Model: Estimation of capital with parameter uncertainty using MCMC
by Xiaolin Luo of the CSIRO Mathematics, Informatics and Statistics, Sydney, and
Pavel V. Shevchencko of the CSIRO Mathematics, Informatics and Statistics, Sydney
(450K PDF) -- 29 pages -- November 23, 2010 A Non-parametric Approach to Incorporating Incomplete Workouts into Loss Given Default Estimates
by Grazia Rapisarda of the Royal Bank of Scotland, and
David Echeverry of the Royal Bank of Scotland
(452K PDF) -- 16 pages -- November 16, 2010 Predicting Bank Loan Recovery Rates in a Mixed Continuous-Discrete model
by Raffaella Calabrese of University of Milano-Bicocca
(229K PDF) -- 24 pages -- November 2010 The Role of Market-Implied Severity Modeling for Credit VaR
by J. Samuel Baixauli of the University of Murcia, Spain, and
Susana Alvarez of the University of Murcia, Spain
(551K PDF) -- 17 pages -- November 2010 Predicting Bank Loan Recovery Rates with Neural Networks
by João A. Bastos of the Technical University of Lisbon
(202K PDF) -- 13 pages -- September 2010 An Econometric Model to Quantify Benchmark Downturn LGD on Residential Mortgages
by Marco Morone of Intesa Sanpaolo, and
Marco Cornaglia of Intesa Sanpaolo
(499K PDF) -- 28 pages -- May 28, 2010 A Flexible Approach to Modeling Ultimate Recoveries on Defaulted Loans and Bonds
by Edward Altman of New York University, and
Egon Kalotay of Macquarie University
(293K PDF) -- 36 pages -- May 10, 2010 Bank Loan Recovery Rates: Measuring and nonparametric density estimation
by Raffaella Calabrese of the University of Milano-Bicocca, and
Michele Zenga of the University of Milano-Bicocca
(392K PDF) -- 9 pages -- May 2010 Simulation and Estimation of Loss Given Default
by Stefan Hlawatsche of Otto-von-Guericke University, Magdeburg, and
Sebastian Ostrowski of Otto-von-Guericke University, Magdeburg
(548K PDF) -- 38 pages -- March 2010 Downturn LGD: A spot recovery approach
by Hui Li of AIG
(337K PDF) -- 23 pages -- January 18, 2010 Extension of Spot Recovery Model for Gaussian Copula
by Hui Li of AIG
(192K PDF) -- 20 pages -- October 17, 2009 Modeling Bank Loan LGD of Corporate and SME Segments: A case study
by Radovan Chalupka of Charles University in Prague, and
Juraj Kopecsni of Charles University in Prague
(470K PDF) -- 23 pages -- October 2009 Recovery Rates and Macroeconomic Conditions: The role of loan covenants
by Zhipeng Zhang of Boston College
(428K PDF) -- 59 pages -- September 2, 2009 Forecasting Bank Loans Loss-given-default
by João A. Bastos of the Technical University of Lisbon
(281K PDF) -- 16 pages -- September 2009 Comparing Debt Characteristics and LGD Models for Different Collections Polices
by Lyn C. Thomas of the University of Southampton,
Ania Matuszyk of the Warsaw School of Economics, and
Angela Moore of the University of Southampton
(478K PDF) -- 14 pages -- September 2009 Credit Default Swap Auctions and Price Discovery
by Jean Helwege of Pennsylvania State University,
Sam Maurer of the Federal Reserve Bank of New York,
Asani Sarkar of the Federal Reserve Bank of New York, and
Yuan Wang of Pennsylvania State University
(188K PDF) -- 25 pages -- May 2009 The Re-Emergence of Distressed Exchanges in Corporate Restructurings
by Edward I. Altman of New York University, and
Brenda Karlin of New York University
(211K PDF) -- 19 pages -- June 30, 2009 The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
by Paul Schneider of the University of Warwick,
Leopold Sögner of Institute for Advanced Studies, Vienna, and
Tanja Veža of Vienna University of Economics and Business
(498K PDF) -- 60 pages -- May 14, 2009 Implied Recovery
by Sanjiv R. Das of Santa Clara University, and
Paul Hanouna of Villanova University
(2,319K PDF) -- 29 pages -- May 2, 2009 Recovery Rates, Default Probabilities, and the Credit Cycle
by Max Bruche of CEMFI, and
Carlos Gonzalez-Aguado of CEMFI
(217K PDF) -- 36 pages -- March 30, 2009 Credit Risk, Default Loss, and the Economics of Bankruptcy
by John F. Crean of the University of Toronto
(288K PDF) -- 51 pages -- March 30, 2009 Discriminant Analysis of Zero Recovery for China's NPL
by Yue Tang of the Chinese Academy of Sciences,
Hao Chen of the Chinese Academy of Sciences,
Bo Wang of the Chinese Academy of Sciences,
Muzi Chen of the Chinese Academy of Sciences,
Min Chen of the Chinese Academy of Sciences, and
Xiaoguang Yang of the Chinese Academy of Sciences
(659K PDF) -- 16 pages -- March 2009 Distressed Debt Prices and Recovery Rate Estimation
by Xin Guo of the University of California, Berkeley,
Robert A. Jarrow of the Cornell University & Kamakura Corp., and
Haizhi Lin of the Cornell University
(383K PDF) -- 39 pages -- January 26, 2009 Implied Market Loss Given Default in the Czech Republic: Structural-model approach
by Jakub Seidler of Czech National Bank & Charles University in Prague, and
Petr Jakubík of Czech National Bank & Charles University in Prague
(515K PDF) -- 21 pages -- January 2009 Generalized Beta Regression Models for Random Loss-Given-Default
by Xinzheng Huang of Delft University Of Technology & Rabobank, and
Cornelis W. Oosterlee of Delft University Of Technology & CWI
(251K PDF) -- 23 pages -- September 9, 2008 Optimal Stochastic Recovery for Base Correlation
by Salah Amraoui of BNP PARIBAS, and
Sebastien Hitier of BNP PARIBAS
(351K PDF) -- 15 pages -- June 2008 Loss Given Default Implied by Cross-sectional No Arbitrage (Job Market Paper)
by Jeong Song of Columbia University
(2,061K PDF) -- 45 pages -- February 7, 2008 Bank Loan-loss Provisioning, Central Bank Rules vs. Estimation: The case of Portugal
by Jean Dermine of INSEAD, and
Cristina Neto de Carvalho of the Universidade Catolica Portuguesa
(186K PDF) -- 37 pages -- December 3, 2007 The Risk-Adjusted Cost of Financial Distress
by Heitor Almeida of New York University and NBER, and
Thomas Philippon of New York University and NBER
(200K PDF) -- 30 pages -- December 2007 Recovery Rates of Commercial Lending: Empirical evidence for German companies
by Jens Grunert of University of Tuebingen, and
Martin Weber of University of Mannheim & Centre for Economic Policy Research
(339K PDF) -- 50 pages -- October 2007 Options-based Structural Model Estimation of Bond Recovery Rates
by Robert R. Cangemi, Jr. of Citigroup,
Joseph R. Mason of Drexel University & Wharton & Federal Deposit Insurance Corporation, and
Michael S. Pagano of Villanova University
(339K PDF) -- 50 pages -- September 4, 2007 Modeling the Recovery Rate in a Reduced Form Model
by Xin Guo of Cornell University & University of California, Berkeley,
Robert A. Jarrow of Cornell University, and
Yan Zeng of Bloomberg L.P.
(323K PDF) -- 32 pages -- August 30, 2007 On Recovery And Intensity's Correlation: A new class of credit risk models
by Raquel M. Gaspar of the Technical University Lisbon, and
Irina Slinko of Swedbank, AB
(713K PDF) -- 29 pages -- July 2007 Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K.
by Sergei A. Davydenko of the University of Toronto, and
Julian R. Franks of the London Business School
(379K PDF) -- 49 pages -- June 2007 Corporate Bankruptcy Reorganizations: Estimates from a Bargaining Model
by Hülya K. K. Eraslan of the University of Pennsylvania
(407K PDF) -- 48 pages -- May 17, 2007 Separating the Components of Default Risk: A Derivative-Based Approach (Job Market Paper)
by Anh Le of New York University
(524K PDF) -- 23 pages -- January 16, 2007 Recovery Ratings Reveal Diverse Expectations for Loss in the Event of Default
by William May of Fitch Ratings,
Charlotte Needham of Fitch Ratings, and
Mariarosa Verde of Fitch Ratings
(114K PDF) -- 11 pages -- December 14, 2006 Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? An Empirical Study for the German Leasing Market
by Thomas Hartmann-Wendels of the University of Cologne, and
Martin Honal of the University of Cologne
(268K PDF) -- 34 pages -- December 2006 (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
by Christian Gourieroux of CEPREMAP & the University of Toronto, and
Alain Monfort of CNAM
(533K PDF) -- 29 pages -- December 2006 Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption
by Joocheol Kim of Yonsei University, and
KiHyung Kim of Yonsei University
(607K PDF) -- 18 pages -- November 17, 2006 Default Recovery Rates and LGD in Credit Risk Modeling and Practice: An Updated Review of the Literature and Empirical Evidence
by Edward Altman of New York University
(190K PDF) -- 36 pages -- November 2006 Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates
by Gurdip Bakshi of the University of Maryland,
Dilip Madan of the University of Maryland, and
Frank Zhang of the Morgan Stanley
(875K PDF) -- 33 pages -- September 6, 2006 Discount Rate for Workout Recoveries: An empirical study
by Brooks Brady of American Express,
Peter Chang of Standard & Poor's,
Peter Miu of McMaster University,
Bogie Ozdemir of Standard & Poor's, and
David Schwartz of the Federal Reserve Bank of Richmond
(226K PDF) -- 33 pages -- September 2006 Multiple Lenders and Corporate Distress: Evidence on debt restructuring
by Antje Brunner of Humboldt-Universitaet Berlin & CFS, and
Jan Pieter Krahnen Frankfurt University & CEPR
(461K PDF) -- 41 pages -- June 2006 Structural Recovery of Face Value at Default
by Rajiv Guha of CPIM, London, and
Alessandro Sbuelz of the University of Verona
(323K PDF) -- 33 pages -- December 2005 Modeling the Term Structure of Defaultable Bonds under Recovery Risk
by Lotfi Karoui of McGill University
(394K PDF) -- 38 pages -- November 17, 2005 The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
by Edward I. Altman of New York University,
Brooks Brady of Standard & Poor's,
Andrea Resti of Bergamo University, and
Andrea Sironi of Bocconi University
(428K PDF) -- 26 pages -- November 2005 Joint Estimation of Default and Recovery Risk: A Simulation Study
by Jens Henrik Eggert Christensen of the Copenhagen Business School
(395K PDF) -- 54 pages -- October 31, 2005 A Multifactor Approach for Systematic Default and Recovery Risk
by Daniel Rösch of the University of Regensburg, and
Harald Scheule of the University of Melbourne
(320K PDF) -- 32 pages -- September 2005 Advancing Loss Given Default Prediction Models: How the quiet have quickened
by Greg M. Gupton of Moody's|KMV
(733K PDF) -- 46 pages -- July 2005 Guidance on Paragraph 468 of the Framework Document
by Basel Committee on Banking Supervision
(51K PDF) -- 12 pages -- July 2005 Bank Loan Losses-Given-Default: A case study
by Jean Dermine of INSEAD (Fontainebleau), and
Cristina Neto de Carvalho of Universidade Catolica Portuguesa (Lisbon)
(133K PDF) -- 40 pages -- March 10, 2005 A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables
by Stefan Trück of the Universität Karlsruhe,
Stefan Harpaintner of the Universität Karlsruhe, and
Svetlozar T. Rachev of the Universität Karlsruhe & the University of California, Santa Barbara
(204K PDF) -- 20 pages -- March 4, 2005 Theory and Evidence On the Resolution of Financial Distress
by David T. Brown of the University of Florida,
Brian A. Ciochetti of the University of North Carolina, and
Timothy J. Riddiough of the University of Wisconsin-Madison
(699K PDF) -- 56 pages -- February 2005 An Empirical Analysis of Bond Recovery Rates: Exploring A Structural View of Default
by Dan Covitz of the Federal Reserve Board, and
Song Han of the Federal Reserve Board
(266K PDF) -- 44 pages -- December 2004 Systematic Risk in Recovery Rates - An Empirical Analysis of U.S. Corporate Credit Exposures
by Klaus Düllmann of Deutsche Bundesbank, and
Monika Trapp of the Universität Ulm
(430K PDF) -- 35 pages -- June 2004 Choosing the Discount Factor for Estimating Economic LGD
by Iain Maclachlan of Australia and New Zealand Banking Group Ltd.
(263K PDF) -- 24 pages -- May 2004 Measuring LGD on Commercial Loans: An 18-Year Internal Study
by Michel Araten of JP Morgan Chase,
Michael Jacobs, Jr. of JP Morgan Chase, and
Peeyush Varshney of JP Morgan Chase
(61K PDF) -- 8 pages -- May 2004 Does Industry-wide Distress Affect Defaulted Firms? - Evidence from Creditor Recoveries
by Viral V. Acharya of the London Business School,
Sreedhar T. Bharath of the University of Michigan, and
Anand Srinivasan of the National University of Singapore
(478k PDF) -- 47 pages -- October 2005 The Costs of Bankruptcy: Chapter 7 Cash Auctions vs. Chapter 11 Bargaining
by Arturo Bris of Yale University,
Ivo Welch of Yale University, and
Ning Zhu of the University of California at Davis
(522K PDF) -- 70 pages -- March 15, 2004 The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates
by Dirk Tasche of Deutsche Bundesbank
(216K PDF) -- 9 pages -- February 17, 2004 Bankruptcy Resolution in Japan: Corporate Reorganization vs. Civil Rehabilitation
by Pen Xu of Hosei University & RIETI
(299K PDF) -- 46 pages -- February 2004 Double Impact: Credit Risk Assessment and Collateral Value
by Ali Chabaane of ACA Consulting & BNP Paribas,
Jean-Paul Laurent of the University of Lyon & BNP Paribas, and
Julien Salomon of BNP Paribas
(363K PDF) -- 17 pages -- February 2004 What Do We Know About Loss-Given-Default?
by Til Schuermann of the Federal Reserve Bank of New York
(272K PDF) -- 30 pages -- February 2004 An analysis of bankruptcy bargaining in the U.S.
by Maria Carapeto of Cass Business School
(95K PDF) -- 29 pages -- October 6, 2003 Is Bargaining in Chapter 11 Costly?
by Maria Carapeto of Cass Business School
(188K PDF) -- 37 pages -- October 6, 2003 Reputation and the Market for Distressed Firm Debt
by Thomas H. Noe of Tulane University, and
Michael J. Rebello of Georgia State University
(112K PDF) -- 20 pages -- September 2003 A False Sense of Security
by Jon Frye of the Federal Reserve Bank of Chicago
(137K PDF) -- 5 pages -- August 2003 Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
by Manmohan Singh of the International Monetary Fund
(679K PDF) -- 25 pages -- August 2003 The Firm's Reorganization Decision: Empirical Evidence from Canada
by Timothy C.G. Fisher of Wilfrid Laurier University, and
Jocelyn Martel of the Université de Cergy-Pontoise
(157K PDF) -- 19 pages -- May 2003 The Paradox of Priority
by Stanley D. Longhofer of Wichita State University, and
João A.C. Santos of the Federal Reserve Bank of New York
(711K PDF) -- 14 pages -- Spring 2003 Recovery of Face Value at Default: Empirical evidence and implications for credit risk pricing
by Rajiv Guha of the London Business School
(397K PDF) -- 63 pages -- January 14, 2003 The Choice Among Traditional Chapter 11, Prepackaged Bankruptcy, and Out-of-Court Restructuring
by Keven Yost of the University of Wisconsin - Madison
(120K PDF) -- 42 pages -- September 2002 Recovery Rates in the Leasing Industry
by Mathias Schmit of Leaseurope, and
Julien Stuyck of Leaseurope
(383K PDF) -- 39 pages -- September 2002 Secured Creditor Recovery Rates from Management Buy-outs in Distress
by David Citron of the City University,
Mike Wright of the Nottingham University,
Rod Ball of the Nottingham University, and
Fred Rippington of the City University
(83K PDF) -- 44 pages -- June 2002 Understanding Stochastic Exposures and LGDs in Portfolio Credit Risk
by Dan Rosen of Algorithmics, and
Marina Sidelnikova of Algorithmics
(272K PDF) -- 14 pages -- Spring 2002 LossCalc™: Moody's Model for Predicting Loss Given Default (LGD)
by Greg M. Gupton of Moody's|KMV, and
Roger M. Stein of Moody's|KMV
(1,189K PDF) -- 32 pages -- February 2002 Crisis Dynamics of Implied Default Recovery Ratios: Evidence from Russia and Argentina
by John J. Merrick, Jr. of New York University
(234K PDF) -- 19 pages -- October 2001 Analyzing and Explaining Default Recovery Rates
by Edward I. Altman of New York University,
Andrea Resti of Bergamo University, and
Andrea Sironi of Luigi Bocconi University
(3,613K PDF) -- 97 pages -- December 2001 Pricing the Risk of Recovery in Default with Absolute Priority Rule Violation
by Haluk Unal of the University of Maryland,
Dilip Madan of the University of Maryland, and
Levent Güntay of the University of Maryland
(200K PDF) -- 32 pages -- August 3, 2001 Bankruptcy Auctions: Costs, Debt Recovery, and Firm Survival
by Karin S. Thorburn of Dartmouth College
(200K PDF) -- 32 pages -- December 2000 Bank Loan Loss Given Default
by Greg M. Gupton of Moody's|KMV,
Daniel Gates of Moody's Investors Service, and
Lea V. Carty of Moody's|KMV
(179K PDF) -- 24 pages -- November 2000 Resolving Financial Distress by way of a Contract: an Empirical Study of Small UK Companies
by Julian Franks of London Business School and CEPR, and
Oren Sussman of Ben Gurion University and LBS
(124K PDF) -- 49 pages -- October 22, 2000 Depressing Recoveries
by Jon Frye of the Federal Reserve Bank of Chicago
(61K PDF) -- 14 pages -- October 17, 2000 Recovery Trends: Any Usefulness Whatsoever?
by Martin S. Fridson of Merrill Lynch
(174K PDF) -- 12 pages -- August 24, 2000 Suddenly Structure Mattered: Insights into Recoveries of Defaulted Debt
by David Keisman of Portfolio Management Data, and
Ruth Yang of Portfolio Management Data
(305K PDF) -- 9 pages -- May 24, 2000 Valuation of Bankrupt Firms
by Stuart C. Gilson of the Harvard Business School,
Edith S. Hotchkiss of Boston College, and
Richard S. Ruback of the Harvard Business School
(202K PDF) -- 32 pages -- Spring 2000 A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans
by Esa Jokivuolle of the Bank of Finland, and
Samu Peura of Leonia plc
(202K PDF) -- 22 pages -- March 14, 2000 Recovery Rates: The Search for Meaning
by Martin S. Fridson of Merrill Lynch,
M. Christopher Garman of Merrill Lynch, and
Kathryn Okashima of Merrill Lynch
(115K PDF) -- 8 pages -- March 13, 2000 Regimes, Recoveries and Loan Ratings: the importance of insolvency legislation
by Faith Bartlett of Fitch/IBCA
(118K PDF) -- 28 pages -- October 1999 The Importance of Bank Seniority for Relationship Lending
by Stanley D. Longhofer of the Federal Reserve Bank of Cleveland, and
João A.C. Santos of the Bank for International Settlements
(306K PDF) -- 50 pages -- September 1999 Collateral, Renegotiation and the Value of Diffusely Held Debt
by Ulrich Hege of Tilburg University, and
Pierre Mella-Barral of the London School of Economics
(480K PDF) -- 45 pages -- September 1999 Recovering Your Money: Insights Into Losses From Defaults
by Karen Van de Castle of Standard & Poor's, and
David Keisman of Portfolio Data Management, LLC
(60K PDF) -- 6 pages -- June 16, 1999 Debt Recoveries for Corporate Bankruptcies
by David T. Hamilton of Moody's Risk Management Services, and
Lea V. Carty of Moody's|KMV
(201K PDF) -- 16 pages -- June 1999 Market Dynamics and Investment Performance of Distressed and Defaulted Debt Securities
by Edward I Altman of the New York University
(46K PDF) -- 23 pages -- December 1998 Debtor- in-possession financing: Size does matter
by Maria Carapeto in the PhD Programme of the London Business School
(155K PDF) -- 56 pages -- November 20, 1998 Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries
by Lew Hurt of Citibank, and
Akos Felsovalyi of Citibank
(286K PDF) -- 8 pages -- August 1998 Bankrupt Bank Loan Recoveries
by Lea V. Carty of Moody's|KMV
(211K PDF) -- 16 pages -- June 1998 Absolute Priority Rule Violations, Credit Rationing, and Efficiency
by Stanley D. Longhofer of the Federal Reserve Bank of Cleveland
(228K PDF) -- 19 pages -- July 1997 Why is Bank Debt Senior? A Theory of Asymmetry and Claim Priority Based on Influence Costs
by Ivo Welch of the University of California
(370K PDF) -- 34 pages -- Winter 1997 Recovery Ratios and Survival Times for Corporate Bonds
by Ivailo Izvorski of the International Monetary Fund
(1,645K PDF) -- 32 pages -- July 1997 Defaulted Bank Loan Recoveries
by Lea V. Carty of Moody's|KMV, and
Dana Lieberman of Moody's Risk Management Services
(84K PDF) -- 12 pages -- November 1996 Absolute Priority Rule Violations in Bankruptcy
by Stanley D. Longhofer of the Federal Reserve Bank of Cleveland, and
Charles T. Carlstrom of the Federal Reserve Bank of Cleveland
(75K PDF) -- 10 pages -- Q4 1995 Bankruptcy and Pricing Behavior in U.S. Airline Markets
by Severin Borenstein of the University of California, Davis, and
Nancy L. Rose of the Massachusetts Institute of Technology
(212K PDF) -- 7 pages -- May 1995 The Resolution of Financial Distress
by Ronald M. Giammarino of the University of British Columbia
(256K PDF) -- 23 pages -- Spring 1989 | |
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Additional References (sorted by author) Altman, Edward I., "Defaulted Bonds: Demand, Supply and Performance, 1987-1992", Financial Analysts Journal, Vol. 49, No. 3, (May/June 1993), pp. 55-60. Altman, Edward I. and Allan C. Eberhart, "Do Seniority Provisions Protect Bondholders' Investments?", Journal of Portfolio Management, Vol. 20, No. 4, (Summer 1994), pp. 67-75. Altman, Edward I. and Vellore M. Kishore, "Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds", Financial Analysts Journal, Vol. 52, No. 6, (November/December 1996), pp. 57-64. Altman, Edward, Andrea Resti, and Andrea Sironi, "Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence", Economic Notes, Vol. 33, No. 2, (July 2004), pp. 183-208. Asarnow, Elliot and David Edwards, "Measuring Loss on Defaulted Bank Loans: A 24-Year Study", Journal of Commercial Lending, Vol. 77, No. 7, (March 1995), pp. 11-23. Asquith, Paul, Robert Gertner, and David Scharfstein, "Anatomy of Financial Distress: An Examination of Junk-Bond Issuers", Quarterly Journal of Economics, Vol. 109, No. 3, (August 1994), pp. 625-658. Bastos, João A., "Ensemble Predictions of Recovery Rates", Journal of Financial Services Research, (forthcoming). Benzschawel, Terry, Adoito Haroon and Tuohua Wu, "A Model for Recovery Value in Default", Journal of Fixed Income, Vol. 21, No. 2, (Fall 2011), pp. 15-29. Bellotti, Tony and Jonathan Crook, "Loss Given Default Models Incorporating Macroeconomic Variables for Credit Cards", International Journal of Forecasting, Vol. 28, No. 1, (January-March 2012), pp. 171-182. Bester, Helmut, "The Role of Collateral in a Model of Debt Renegotiation", Journal of Money, Credit and Banking, Vol. 26, No. 1, (February 1994), pp. 72-86. Bester, Helmut, "The Role of Collateral in Credit Markets with Imperfect Information", European Economic Review, Vol. 31, No. 4, (June 1987), pp. 887-899. Chatterjee, Sris, Upinder S. Dhillon, and Gabriel G. Ramirez, "Resolution of Financial Distress: Debt Restructurings via Chapter 11, Prepackaged Bankruptcies, and Workouts", Financial Management Journal, Vol. 25, No. 1, (Spring 1996), pp. 5-18. Clark, Kent and Eli Ofek, "Mergers as a Means of Restructuring Distressed Firms: An Empirical Investigation", Journal of Financial and Quantitative Analysis, Vol. 29, No. 4, (December 1994), pp. 541-565. Dhillon, Upinder S., Thomas Noe, and Gabriel G. Ramírez, "Debtor-in-possession Financing and the Resolution of Uncertainty in Chapter 11 Reorganizations", Journal of Financial Stability, Vol. 3, No. 3, (October 2007), pp. 238-260. Eales, Robert and Edmund Bosworth, "Severity of Loss in the Event of Default in Small Business and Larger Consumer Loans", Journal of Lending & Credit Risk Management, Vol. 80, No. 9, (May 1998), pp. 58-65. Eberhart, Allan C., William T. Moore, and Rodney L. 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