Alternative Links zum Volltext:DOI
Zusammenfassung
This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide a highly significant explanation for default risk and recovery risk of US bond issues. The empirical data suggest that default and recovery processes are highly correlated. Therefore, a joint approach is ...
Nur für Besitzer und Autoren: Kontrollseite des Eintrags
Altmetric