The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans

By S. Caselli, S. Gatti, F. Querci. 2008

113 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/06e7e9f6ac33c50613df70a018e839d1f326d800

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Raffaella Calabrese
2. Michele Zenga
3. João A. Bastos

In Economics and Econometrics

1. Raffaella Calabrese
2. Michele Zenga

In Finance

1. Raffaella Calabrese
2. Michele Zenga
3. João A. Bastos

Citations in the corpus

• Estimating bank loans loss given default by generalized additive models (2012, methodology): “These values show a less efficient Italian recovery process than the one represented by Caselli et al. (2008) for the period 1990-2004.”
• Forecasting bank loans loss-given-default (2010, background): “Bimodal distributions of bank loan recoveries are also found in Asarnow and Edwards (1995), Felsovalyi and Hurt (1998), Franks et al. (2004), Araten et al. (2004) and Caselli et al. (2008).”
• Bank loan recovery rates: Measuring and nonparametric density estimation (2010, methodology): “Also Chen (1999), Renault and Scaillet (2004) choose the same number of replications.”