The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

By Edward I. Altman, Brooks Brady, Andrea Resti, A. Sironi. 2003

802 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a435a7774f8d73836dd86546808abcc876ba3b6

How researchers see this paper

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

In Economics and Econometrics

1. Raffaella Calabrese
2. Liuren Wu
3. Peter P. Carr
4. V. Acharya
5. Jesús Saurina Salas
6. Javier Suárez
7. Alan G. White
8. Ilya A. Strebulaev

In Finance

1. Ilya A. Strebulaev
2. Liuren Wu
3. V. Acharya
4. Sergei Davydenko
5. Raffaella Calabrese
6. Peter P. Carr
7. Brent Glover
8. Frank J Fabozzi 3

Citations in the corpus

• Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004, neutral): “This result is in contrast with to those of Altman et al. (2004) in that there is no effect of macroeconomic conditions over and above the industry conditions and is in line those results in that the effect of industry conditions is robust to inclusion of macroeconomic factors.”
• Macroeconomic variable selection for creditor recovery rates (2018, background): “Altman et al. (2005) report that recovery rates and aggregate default rates are negatively correlated.”
• Pricing Credit from the Top Down with Affine Point Processes (2008, background): “It also incorporates the negative correlation between default and recovery rates that is empirically documented in Altman et al. (2005) and many others.”
• Generalized beta regression models for random loss given default (2008, positive): “These results are in line with those reported in Altman et al. (2005), Giese (2006) .”
• The expected cost of default (2016, background): “See, for example, Altman et al. (2005).”
• Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2007, neutral): “(2002), Altman et al. (2005), Bakshi et al. (2006), Ericsson et al. (2004), Carr and Wu (2005) and Wu and Zhang (2005). 3 In this article, we adopt the viewpoint of a US investor without loss of generality.”
• Are Credit Ratings Procyclical (2004, background): “8 For instance, Altman et al. (2003) show that there is a relationship between the correlation of default rates and loss in the event of default and the business cycle.”
• Does Industry-Wide Distress Affect Defaulted Firms? Evidence from Creditor Recoveries (2007, methodology): “Altman et al. (2003) results are for Pd, recoveries at default, using the NYU Salomon Center data on the closing “bid” prices for about 1300 bonds (as close to the default as possible) over the period 1982–2002.”
• Group Membership, Relationship Banking and Loan Default Risk: The Case of Online Social Lending (2015, neutral): “For example, the average default rate on corporate bonds between 1982 and 2001 was 4.19% (Altman et al, 2005).”
• The Credit Spread Puzzle (2003, background): “See, for example, Nickell et al (2000) for a discussion of time-varying transition matrices; Frye (2003) on the relation between probabilities of default and recovery rates; and Altman et al (2003) for an analysis of the link between default and recovery rates.”