Modeling recovery rate for leveraged loans
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DOI: 10.1016/j.econmod.2019.04.006
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References listed on IDEAS
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Cited by:
- Kundu, Shohini, 2023. "The externalities of fire sales: evidence from collateralized loan obligations," ESRB Working Paper Series 141, European Systemic Risk Board.
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More about this item
Keywords
Credit risk; Ultimate recovery rate; Loss given default; Two-stage model; Leveraged loan;All these keywords.
JEL classification:
- 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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