Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence

By Edward I. Altman, Andrea Resti, A. Sironi. 2004

270 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/40f9664117a46b4d9f76417d8b9b1e1001a81dec

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Citations in the corpus

Financially Constrained Stock Returns (2009, unknown): “To capture the fact that recovery rates are lower and liquidation costs are higher in recessions (e.g., Shleifer and Vishny 1992, Altman, Resti, and Sironi 2004, Altman, Brady, Resti, and Sironi 2005, Acharya, Bharath, and Srinivasan 2006), we implement an alternative parametrization of the…”
Firm, strategic group, and industry influences on performance (2007, background): “When examining risk at the organizational level, the likelihood of bankruptcy is an especially salient measure (Eberhart, Altman, and Aggarwal, 1999) that is of interest in a variety of country settings (Altman, Resti, and Sironi, 2004).”
Determinants of Default in P2P Lending (2015, background): “Credit scoring mathematical models usually include borrower characteristics, widely applied by bankers to reach a subjective judgment, what Altman, Resti and Sironi [50] call the 4 ‘Cs’ of credit: borrower character (reputation), capital (leverage), capacity (volatility of earnings) and collateral.”
On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle (2009, unknown): “Recently, several papers (e.g., Altman, Resti, and Sironi 2004 and 2005, Acharya, Bharath, and Srinivasan 2007) have noted that recovery rates are procyclical.31 In this section, we investigate what effect this channel has on credit spreads.”
Credit Risk Management (2004, background): “4 shows statistics for recovery rates on bonds and loans, as quoted by Altman et al. (2003).”