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Recovery rates, default probabilities and the credit cycle

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
  2. Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
  3. repec:eee:ejores:v:262:y:2017:i:2:p:780-791 is not listed on IDEAS
  4. Charitou, Andreas & Dionysiou, Dionysia & Lambertides, Neophytos & Trigeorgis, Lenos, 2013. "Alternative bankruptcy prediction models using option-pricing theory," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2329-2341.
  5. Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (Central Bank of Hungary).
  6. Mathieu Gatumel & Florian Ielpo, 2014. "The Number Of Regimes Across Asset Returns: Identification And Economic Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-25.
  7. Balázs Zsámboki, 2007. "Basel II and financial stability: An investigation of sensitivity and cyclicality of capital requirements based on QIS 5," MNB Occasional Papers 2007/67, Magyar Nemzeti Bank (Central Bank of Hungary).
  8. Wu, Yang-Che & Chung, San-Lin, 2010. "Catastrophe risk management with counterparty risk using alternative instruments," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 234-245, October.
  9. Kamber, Güneş & Thoenissen, Christoph, 2012. "The financial accelerator and monetary policy rules," Economics Letters, Elsevier, vol. 115(2), pages 309-313.
  10. Rafael Repullo & Javier Suarez, 2013. "The Procyclical Effects of Bank Capital Regulation," Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
  11. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
  12. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  13. 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.
  14. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
  15. Bart Keijsers & Bart Diris & Erik Kole, 2015. "Cyclicality in Losses on Bank Loans," Tinbergen Institute Discussion Papers 15-050/III, Tinbergen Institute, revised 01 Sep 2017.
  16. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank, Research Department.
  17. Choi, Woon Gyu & Cook, David, 2012. "Fire sales and the financial accelerator," Journal of Monetary Economics, Elsevier, vol. 59(4), pages 336-351.
  18. Diana Bonfim & Daniel Dias & Christine Richmond, 2011. "What Happens After Default? Stylized Facts on Access to Credit," Working Papers w201101, Banco de Portugal, Economics and Research Department.
  19. Marcin Jaskowski & Michael McAleer, 2012. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Documentos de Trabajo del ICAE 2012-28, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  20. Qi, Howard & Liu, Sheen & Wu, Chunchi, 2010. "Structural models of corporate bond pricing with personal taxes," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1700-1718, July.
  21. Bonfim, Diana & Dias, Daniel A. & Richmond, Christine, 2012. "What happens after corporate default? Stylized facts on access to credit," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2007-2025.
  22. Richard J Martin, 2011. "A CDS Option Miscellany," Papers 1201.0111, arXiv.org, revised Sep 2017.
  23. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  24. Joan Llull, 2008. "The Impact Of Immigration On Productivity," Working Papers wp2008_0802, CEMFI.
  25. Jodi G. Scarlata & Juan Sole & Alicia Novoa, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 09/39, International Monetary Fund.
  26. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
  27. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  28. Yi-Ping Chang & Jing-Xiu Lin & Chih-Tun Yu, 2016. "Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(2), pages 157-176, August.
  29. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2017. "Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond," Journal of Financial Stability, Elsevier, vol. 28(C), pages 1-15.
  30. Nada Mora, 2012. "What determines creditor recovery rates?," Economic Review, Federal Reserve Bank of Kansas City, issue Q II.
  31. Ang, James & Mauck, Nathan, 2011. "Fire sale acquisitions: Myth vs. reality," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 532-543, March.
  32. Zhang, Zhipeng, 2009. "Who Pulls the Plug? Theory and Evidence on Corporate Bankruptcy Decisions," MPRA Paper 17676, University Library of Munich, Germany, revised 05 Oct 2009.
  33. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  34. da-Silva, C.Q. & Migon, H.S. & Correia, L.T., 2011. "Dynamic Bayesian beta models," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2074-2089, June.
  35. Tsaig, Yaakov & Levy, Amnon & Wang, Yashan, 2011. "Analyzing the impact of credit migration in a portfolio setting," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3145-3157.
  36. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  37. Mora, Nada, 2015. "Creditor recovery: The macroeconomic dependence of industry equilibrium," Journal of Financial Stability, Elsevier, vol. 18(C), pages 172-186.
  38. Ethan Cohen-Cole, 2007. "Asset liquidity, debt valuation and credit risk," Risk and Policy Analysis Unit Working Paper QAU07-5, Federal Reserve Bank of Boston.
  39. Fleming, Michael J. & Sarkar, Asani, 2013. "The failure resolution of Lehman Brothers," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 175-206.
  40. repec:spr:reaccs:v:23:y:2018:i:1:d:10.1007_s11142-017-9431-1 is not listed on IDEAS
  41. Schläfer, Timo & Uhrig-Homburg, Marliese, 2014. "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 257-270.
  42. Zhao, Hongbiao, 2011. "Portfolio credit risk of default and spread widening," LSE Research Online Documents on Economics 43451, London School of Economics and Political Science, LSE Library.
  43. Javier Zapata & Arturo Cifuentes, 2016. "On the Stability of Synthetic CDO Credit Ratings," International Finance, Wiley Blackwell, vol. 19(2), pages 201-218, June.
  44. repec:eee:ejores:v:262:y:2017:i:1:p:347-360 is not listed on IDEAS
  45. Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
  46. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
  47. Daniel Rösch & Harald Scheule, 2014. "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 563-586, September.
  48. Aretz, Kevin & Shackleton, Mark B., 2011. "Omitted debt risk, financial distress and the cross-section of expected equity returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1213-1227, May.
  49. repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500236 is not listed on IDEAS
  50. Cangemi, Robert R. & Mason, Joseph R. & Pagano, Michael S., 2012. "Options-based structural model estimation of bond recovery rates," Journal of Financial Intermediation, Elsevier, vol. 21(3), pages 473-506.
  51. repec:eee:jbfina:v:89:y:2018:i:c:p:14-25 is not listed on IDEAS
  52. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  53. Tomas Konecny & Jakub Seidler & Aelta Belyaeva & Konstantin Belyaev, 2017. "The Time Dimension of the Links Between Loss Given Default and the Macroeconomy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 462-491, October.
  54. Iman van Lelyveld & Marco Spaltro, 2011. "Coordinating Bank Failure Costs and Financial Stability," DNB Working Papers 306, Netherlands Central Bank, Research Department.
  55. repec:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-016-0613-x is not listed on IDEAS
  56. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
  57. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
  58. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  59. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  60. Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Karl Wolfgang & Härdle, 2015. "Copula-Based Factor Model for Credit Risk Analysis," SFB 649 Discussion Papers SFB649DP2015-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  61. Rötheli, Tobias F., 2012. "Boundedly rational banks’ contribution to the credit cycle," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 41(5), pages 730-737.
  62. Löffler, Gunter & Maurer, Alina, 2011. "Incorporating the dynamics of leverage into default prediction," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3351-3361.
  63. Luca Bagnato & Antonio Punzo, 2013. "Finite mixtures of unimodal beta and gamma densities and the $$k$$ -bumps algorithm," Computational Statistics, Springer, vol. 28(4), pages 1571-1597, August.
  64. F. Wang & Ting Zhang, 2014. "Financial Crisis and Credit Crunch in the Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 256-276, August.
  65. Han, Chulwoo & Jang, Youngmin, 2013. "Effects of debt collection practices on loss given default," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 21-31.
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