An empirical study of the returns on defaulted debt

References

• Acharya , V , Bharath , ST and Srinivasan , A . 2007 . Does industry-wide distress affect defaulted firms? – evidence from creditor recoveries . Journal of Political Economy , 85 : 787 – 821 .
   Google Scholar
• Altman , EI . 1989 . Measuring corporate bond mortality and performance . Journal of Finance , 44 : 909 – 22 .
   Web of Science ®Google Scholar
• Altman , EI and Jha , S . 2003 . Market size and investment performance of defaulted bonds and loans: 1987–2002 Working Paper, New York University Stern School of Business
   Google Scholar
• Altman , EI and Karlin , B . 2010 . Special report on defaults and returns in the high-yield bond and distressed debt market: the year 2009 in review and outlook NYU Solomon Center Report
   Google Scholar
• Altman , EI . 2003 . Resti, A. and Sironi, A. , Default recovery rates in credit risk modelling: a review of the literature and empirical evidence, Working Paper, New York University Solomon Center
   Google Scholar
• Barco , M . 2007 . Going downturn . Risk , September : 38 – 44 .
   Google Scholar
• Basel Committee on Banking Supervision (BCBS) (2004) International convergence of capital measurement and capital standards: a revised framework, Basel, Switzerland
   Google Scholar
• Basel Committee on Banking Supervision (BCBS) (2005) Guidance on paragraph 468 of the framework document, BIS, July
   Google Scholar
• Basel Committee on Banking Supervision (BCBS) (2006) International convergence on capital measurement and capital standards: a revised framework, BIS, June
   Google Scholar
• Brady , B . 2006 . Chang, P., Miu, P., Ozdemir, B. and Schwartz, D. , Discount rate for workout recoveries: an empirical study, Working Paper, Standard and Poors
   Google Scholar
• Carey , M and Gordy , M . 2007 . The bank as grim reaper: debt decomposition and recoveries on defaulted debt Working Paper, Federal Reserve Board
   Google Scholar
• Davydenko , S . and Strebuleav, I. (2002) Strategic behavior, capital structure and credit spreads: an empirical investigation, Working Paper, London Business School
   Google Scholar
• Dullman , K and Trapp , M . 2004 . Systematic risk in LGD – an empirical analysis Working Paper, University of Mannheim
   Google Scholar
• Fama , EF and French , KR . 1992 . The cross-section of expected stock returns . Journal of Finance , 47 : 427 – 65 .
   Web of Science ®Google Scholar
• Frye , J . 2000a . Collateral damage . Risk , April : 91 – 4 .
   Google Scholar
• Frye , J . (2000b) Collateral damage detected, Federal Reserve Bank of Chicago, Emerging Issues Series, October, pp. 1–14
   Google Scholar
• Frye , J . 2000c . Depressing recoveries . Risk , 13 : 108 – 11 .
   Google Scholar
• Frye , J . 2003 . A false sense of security . Risk , August : 63 – 7 .
   Google Scholar
• Giese , G . 2005 . The impact of PD/LGD correlations on credit risk capital . Risk , April : 79 – 84 .
   Google Scholar
• Gilson , S . 1955 . Investing in distressed situations: a market survey . Financial Analysts Journal , November–December : 8 – 27 .
   Google Scholar
• Gordy , M . 2003 . A risk-factor model foundation for ratings-based bank capital rules . Journal of Financial Intermediation , 12 : 199 – 232 .
   Web of Science ®Google Scholar
• Guha , R . 2003 . Recovery of face value at default: empirical evidence and implications for credit risk pricing Working Paper, London Business School
   Google Scholar
• Hillebrand , M . 2006 . Modelling and estimating dependent loss given default . Risk , September : 120 – 5 .
   Google Scholar
• Hotchkiss , ES and Mooradian , RM . 1997 . Vulture investors and the market for control of distressed firms . Journal of Financial Economics , 43 : 401 – 32 .
   Web of Science ®Google Scholar
• Hotchkiss , E and Mooradian , R . 1997 . Vulture investors and the market for control of distressed firms . Journal of Financial Economics , 43 : 401 – 32 .
   Web of Science ®Google Scholar
• Hu , YT . and Perraudin, W. (2002) The dependence of recovery rates and defaults, Working Paper, Bank of England
   Google Scholar
• Jacobs Jr , M . 2011 . Empirical implementation of a 2-factor structural model for loss-given-default . Journal of Financial Transformation , 31 : 31 – 43 .
   Google Scholar
• Jacobs Jr , M and Karagozoglu , AK . 2011 . Modeling ultimate loss-given-default on corporate debt . Journal of Fixed Income , 21 : 6 – 20 .
   Google Scholar
• Keenan , S . C., Hamilton, D. T. and Berthault, A. (2000) Historical default rates of corporate bond issuers: 1920–1999, Moody's Investors Services, January
   Google Scholar
• Keisman , D . and van de Castle, K. (2000) Suddenly structure mattered: insights into recoveries of defaulted debt, corporate ratings, commentary, Standard and Poors
   Google Scholar
• Maclachlan , I . 2004 . Choosing the discount factor for estimating economic LGD Working Paper, Australia and New Zealand Banking Group, Ltd
   Google Scholar
• Maddala , GS . 1983 . Limited Dependent and Qualitative Variables in Finance , 3rd , Cambridge : Cambridge University Press .
   Google Scholar
• Maddala , GS . 1991 . The perspective on the use of limited-dependent and qualitative variables models in accounting research . The Accounting Review , 66 : 788 – 807 .
   Web of Science ®Google Scholar
• Mallick , BK and Gelfand , AE . 1994 . Generalized linear models with unknown link functions . Biometrika , 81 : 237 – 45 .
   Web of Science ®Google Scholar
• Merton , RC . 1971 . Optimum consumption and portfolio rules in a continuous-time model . Journal of Economic Theory , 3 : 373 – 413 .
   Web of Science ®Google Scholar
• Merton , RC . 1974 . On the pricing of corporate debt: the risk structure of interest rates . Journal of Finance , 29 : 449 – 70 .
   Web of Science ®Google Scholar
• Pykhtin , M . 2003 . Unexpected recovery risk . Risk , August : 74 – 9 .
   Google Scholar
• Rosch , D and Scheule , H . 2005 . A multifactor approach for systematic default and recovery risk . Risk , September : 62 – 75 .
   Google Scholar
• Schuermann , T . 2003 . “ What do we know about loss given default? ” . In Credit Risk Models and Management , 2nd , Edited by: Shimko , D . 279 – 374 . London : Risk Books .
   Google Scholar
• Tobin , J . 1958 . Liquidity preference as behavior towards risk . Review of Economic Studies , 25 : 65 – 86 .
   Web of Science ®Google Scholar
• Vasicek , O . 1987 . Probability of loss on a loan portfolio Working Paper, KMV Corporation, San Francisco, CA
   Google Scholar
• Vasicek , O . 2002 . Loan portfolio value . Risk , December : 160 – 2 .
   Google Scholar