Macroeconomic variable selection for creditor recovery rates
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- repec:taf:jnlasa:v:111:y:2016:i:514:p:600-620 is not listed on IDEAS
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- repec:gam:jrisks:v:7:y:2019:i:2:p:57-:d:232426 is not listed on IDEAS
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad - new evidence," Papers 1804.07022, arXiv.org.
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
More about this item
KeywordsMacroeconomic variables; Least absolute shrinkage and selection operator (LASSO); Corporate bond; Recovery rates; Credit risk;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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