My bibliography
Save this item
Recovery rates, default probabilities, and the credit cycle
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Gourieroux, Christian & Lu, Yang, 2019.
"Least impulse response estimator for stress test exercises,"
Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
- Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," Working Papers hal-02089698, HAL.
- Christian Gourieroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises," CEPN Working Papers 2019-05, Centre d'Economie de l'Université de Paris Nord.
- Christian Gouriéroux & Yang Lu, 2019. "Least Impulse Response Estimator for Stress Test Exercises [Least impulse response estimator for stress test exercises]," Post-Print hal-02419030, HAL.
- Bastos, João A., 2010.
"Forecasting bank loans loss-given-default,"
Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
- Joao A. Bastos, 2009. "Forecasting bank loans loss-given-default," CEMAPRE Working Papers 0901, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
- Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
- Kwon, Hyuck-Shin & Bang, Doo Won & Kim, Myeong Hyeon, 2017. "Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 39(3), pages 43-62.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019.
"Recovery rates: Uncertainty certainly matters,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
- 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.
- Gábor Vadas, 2007. "Wealth portfolio of Hungarian households – Urban legends and facts," MNB Occasional Papers 2007/68, Magyar Nemzeti Bank (Central Bank of Hungary).
- 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.
- Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.
- 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).
- 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.
- Kamber, Güneş & Thoenissen, Christoph, 2012.
"The financial accelerator and monetary policy rules,"
Economics Letters, Elsevier, vol. 115(2), pages 309-313.
- Gunes Kamber & Christoph Thoenissen, 2011. "The financial accelerator and monetary policy rules," CAMA Working Papers 2011-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Güneş Kamber & Christoph Thoenissen, 2012. "The financial accelerator and monetary policy rules," Reserve Bank of New Zealand Discussion Paper Series DP2012/01, Reserve Bank of New Zealand.
- Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
- Pascal François, 2019. "The Determinants of Market-Implied Recovery Rates," Risks, MDPI, vol. 7(2), pages 1-15, May.
- Hasan, Iftekhar & Politsidis, Panagiotis N. & Sharma, Zenu, 2021.
"Global syndicated lending during the COVID-19 pandemic,"
Journal of Banking & Finance, Elsevier, vol. 133(C).
- Iftekhar Hasan & Panagiotis N. Politsidis & Zenu Sharma, 2021. "Global syndicated lending during the COVID-19 pandemic," Post-Print hal-03412178, HAL.
- Hasan, Iftekhar & Politsidis, Panagiotis N. & Sharma, Zenu, 2021. "Global syndicated lending during the COVID-19 pandemic," MPRA Paper 106942, University Library of Munich, Germany.
- Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022.
"Meta-Learning Approaches for Recovery Rate Prediction,"
Risks, MDPI, vol. 10(6), pages 1-29, June.
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," LIDAM Reprints LFIN 2022011, Université catholique de Louvain, Louvain Finance (LFIN).
- Rafael Repullo & Javier Suarez, 2013.
"The Procyclical Effects of Bank Capital Regulation,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 452-490.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM 0b64ec97-95cc-45bf-b271-4, Tilburg University, School of Economics and Management.
- Rafael Repullo & Javier Suarez, 2012. "The Procyclical Effects of Bank Capital Regulation," Working Papers wp2012_1202, CEMFI.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Discussion Paper 2010-29S, Tilburg University, Center for Economic Research.
- Repullo, R. & Suarez, J., 2010. "The Procyclical Effects of Bank Capital Regulation," Other publications TiSEM c763eb06-7096-4075-a652-2, Tilburg University, School of Economics and Management.
- Repullo, Rafael & Suarez, Javier, 2012. "The Procyclical Effects of Bank Capital Regulation," CEPR Discussion Papers 8897, C.E.P.R. Discussion Papers.
- Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
- 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.
- Gabriel Jiménez & Javier Mencía, 2007. "Modeling the distribution of credit losses with observable and latent factors," Working Papers 0709, Banco de España.
- Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020.
"The determinants of bank loan recovery rates in good times and bad – New evidence,"
Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
- 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.
- 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.
- Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
- Abdelkader Derbali & Lamia Jamel, 2019.
"Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks,"
Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(2), pages 711-733, June.
- Abdelkader Derbali & Lamia Jamel, 2018. "Dependence of default probability and recovery rate in structural credit risk models: Case of Greek banks," Post-Print hal-01695998, HAL.
- Jorge Abad & Javier Suarez, 2018.
"The Procyclicality of Expected Credit Loss Provisions,"
Working Papers
wp2018_1806, CEMFI.
- Suarez, Javier & ,, 2018. "The Procyclicality of Expected Credit Loss Provisions," CEPR Discussion Papers 13135, C.E.P.R. Discussion Papers.
- Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
- Bart Keijsers & Bart Diris & Erik Kole, 2018.
"Cyclicality in losses on bank loans,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 533-552, June.
- 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.
- Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
- Diana Bonfim & Daniel Dias, 2011. "What Happens After Default? Stylized Facts on Access to Credit," Working Papers w201101, Banco de Portugal, Economics and Research Department.
- 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.
- Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
- Marcin Jaskowski & Michael McAleer, 2012. "Estimating implied recovery rates from the term structure of CDS spreads," KIER Working Papers 836, Kyoto University, Institute of Economic Research.
- 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.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007. "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche 0741, CIRPEE.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2007. "A reduced form model of default spreads with Markov switching macroeconomic factors," Working Papers 07-8, HEC Montreal, Canada Research Chair in Risk Management.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche 1042, CIRPEE.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2010. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers 10-6, HEC Montreal, Canada Research Chair in Risk Management.
- 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.
- Correia, Maria & Kang, Johnny & Richardson, Scott, 2018. "Asset volatility," LSE Research Online Documents on Economics 84405, London School of Economics and Political Science, LSE Library.
- Hernandez Tinoco, Mario & Holmes, Phil & Wilson, Nick, 2018. "Polytomous response financial distress models: The role of accounting, market and macroeconomic variables," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 276-289.
- Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
- 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.
- Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
- Gourdel, Régis & Monasterolo, Irene & Dunz, Nepomuk & Mazzocchetti, Andrea & Parisi, Laura, 2024.
"The double materiality of climate physical and transition risks in the euro area,"
Journal of Financial Stability, Elsevier, vol. 71(C).
- Gourdel, Régis & Monasterolo, Irene & Dunz, Nepomuk & Mazzocchetti, Andrea & Parisi, Laura, 2022. "The double materiality of climate physical and transition risks in the euro area," Working Paper Series 2665, European Central Bank.
- Richard J Martin, 2011. "A CDS Option Miscellany," Papers 1201.0111, arXiv.org, revised May 2019.
- Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
- 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.
- Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
- 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.
- 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.
- 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.
- 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.
- Nada Mora, 2012. "What determines creditor recovery rates?," Economic Review, Federal Reserve Bank of Kansas City, vol. 97(Q II).
- So Yeon Chun & Miguel A. Lejeune, 2020. "Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution," Management Science, INFORMS, vol. 66(8), pages 3735-3753, August.
- Ang, James & Mauck, Nathan, 2011. "Fire sale acquisitions: Myth vs. reality," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 532-543, March.
- 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.
- 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.
- 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.
- Dan Cheng & Pasquale Cirillo, 2019. "An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages," Risks, MDPI, vol. 7(3), pages 1-21, July.
- 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".
- Choi, Woon Gyu & Cook, David, 2012.
"Fire sales and the financial accelerator,"
Journal of Monetary Economics, Elsevier, vol. 59(4), pages 336-351.
- Woon Gyu Choi & Mr. David Cook, 2010. "Fire Sales and the Financial Accelerator," IMF Working Papers 2010/141, International Monetary Fund.
- Mora, Nada, 2015.
"Creditor recovery: The macroeconomic dependence of industry equilibrium,"
Journal of Financial Stability, Elsevier, vol. 18(C), pages 172-186.
- Nada Mora, 2013. "Creditor recovery: the macroeconomic dependence of industry equilibrium," Research Working Paper RWP 13-06, Federal Reserve Bank of Kansas City.
- Ethan Cohen-Cole, 2007. "Asset liquidity, debt valuation and credit risk," Supervisory Research and Analysis Working Papers QAU07-5, Federal Reserve Bank of Boston.
- Ildiko Orban & Oday Tamimi, 2020. "Accounting Model for Impairment under IFRS 9 and its Impact on Loss Allowance," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1259-1277.
- Candian, Giacomo & Dmitriev, Mikhail, 2020.
"Default recovery rates and aggregate fluctuations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Giacomo Candian & Mikhail Dmitriev, 2019. "Default Recovery Rates and Aggregate Fluctuations," Working Papers wp2019_09_01, Department of Economics, Florida State University.
- Michael J. Fleming & Asani Sarkar, 2013.
"The failure resolution of Lehman Brothers,"
Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 175-206.
- Michael J. Fleming & Asani Sarkar, 2014. "The Failure Resolution of Lehman Brothers," Liberty Street Economics 20140403, Federal Reserve Bank of New York.
- Maria Correia & Johnny Kang & Scott Richardson, 2018. "Asset volatility," Review of Accounting Studies, Springer, vol. 23(1), pages 37-94, March.
- Schläfer, Timo & Uhrig-Homburg, Marliese, 2014. "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 257-270.
- Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
- Patrycja Chodnicka-Jaworska, 2018. "Banks credit ratings – is the size of the credit rating agency important?," Faculty of Management Working Paper Series 32018, University of Warsaw, Faculty of Management.
- 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.
- Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2017.
"Copula-based factor model for credit risk analysis,"
Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 949-971, November.
- Lu, Meng-Jou & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2015. "Copula-based factor model for credit risk analysis," SFB 649 Discussion Papers 2015-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Nazemi, Abdolreza & Fabozzi, Frank J., 2024. "Interpretable machine learning for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 164(C).
- Javier Zapata & Arturo Cifuentes, 2016. "On the Stability of Synthetic CDO Credit Ratings," International Finance, Wiley Blackwell, vol. 19(2), pages 201-218, June.
- Varotto, Simone, 2012.
"Stress testing credit risk: The Great Depression scenario,"
Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
- Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
- Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2022. "Corporate Loan Recovery Rates under Downturn Conditions in a Developing Economy: Evidence from Zimbabwe," Risks, MDPI, vol. 10(10), pages 1-24, October.
- Doumpos, Michalis & Andriosopoulos, Kostas & Galariotis, Emilios & Makridou, Georgia & Zopounidis, Constantin, 2017. "Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics," European Journal of Operational Research, Elsevier, vol. 262(1), pages 347-360.
- Stefan Kerbl & Michael Sigmund, 2011. "What Drives Aggregate Credit Risk?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 22, pages 72-87.
- 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.
- Tang, Dragon Yongjun & Yan, Hong, 2008. "Market conditions, default risk and credit spreads," Discussion Paper Series 2: Banking and Financial Studies 2008,08, Deutsche Bundesbank.
- 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.
- 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.
- Thamayanthi Chellathurai, 2017. "Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
- 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.
- Nazemi, Abdolreza & Fabozzi, Frank J., 2018. "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 14-25.
- Matteo Crisafulli, 2024. "A Solvency II Partial Internal Model Considering Reinsurance and Counterparty Default Risk," JRFM, MDPI, vol. 17(4), pages 1-34, April.
- Pascal François & Weiyu Jiang, 2019. "Credit Value Adjustment with Market-implied Recovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(2), pages 145-166, October.
- Ms. Jodi G Scarlata & Mr. Juan Sole & Alicia Novoa, 2009. "Procyclicality and Fair Value Accounting," IMF Working Papers 2009/039, International Monetary Fund.
- Devjak Srečko, 2018. "Modeling of Cash Flows from Nonperforming Loans in a Commercial Bank," Naše gospodarstvo/Our economy, Sciendo, vol. 64(4), pages 3-9, December.
- 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.
- Seidler, Jakub & Konečný, Tomáš & Belyaeva, Aelita & Belyaev, Konstantin, 2017. "The time dimension of the links between loss given default and the macroeconomy," Working Paper Series 2037, European Central Bank.
- Iman van Lelyveld & Marco Spaltro, 2011. "Coordinating Bank Failure Costs and Financial Stability," DNB Working Papers 306, Netherlands Central Bank, Research Department.
- Giuseppe Orlando & Roberta Pelosi, 2020. "Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default," IJFS, MDPI, vol. 8(4), pages 1-22, November.
- 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.
- Hasan, Iftekhar & Politsidis, Panagiotis & Sharma, Zenu, 2020. "Bank lending during the COVID-19 pandemic," MPRA Paper 103565, University Library of Munich, Germany.
- 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.
- 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.
- Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
- repec:hum:wpaper:sfb649dp2015-042 is not listed on IDEAS
- Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
- 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.
- Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Hardle, 2020. "Copula-Based Factor Model for Credit Risk Analysis," Papers 2009.12092, arXiv.org, revised Oct 2020.
- Löffler, Gunter & Maurer, Alina, 2011. "Incorporating the dynamics of leverage into default prediction," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3351-3361.
- 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.
- 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.
- Abu, Benjamin Musah & Domanban, Paul Bata & Haruna, Issahaku, 2017. "Microcredit Loan Repayment Default among Small Scale Enterprises: A Double Hurdle Approach," MPRA Paper 101576, University Library of Munich, Germany, revised 12 Mar 2017.
- 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.