The Determinants of Recovery Rates in the US Corporate Bond Market

By R. Jankowitsch, Florian Nagler, Marti G. Subrahmanyam. 2014

161 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/61664813a3485a233e4beca6a15895e0366ca7b8

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1. Abdolreza Nazemi
2. Frank J Fabozzi 3

Citations in the corpus

• Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle (2018, unknown): “The following model elements are similar to Chen (2010) and Bhamra, Kuehn, and Strebulaev (2010), except that we study the case in which firms issue bonds with an average finite maturity a la Leland (1998) so that rollover risk in He and Xiong (2012) is present.”
• Macroeconomic variable selection for creditor recovery rates (2018, methodology): “…and nonparametric models using only selected macroeconomic variables derived from shrinkage methods and compare their out-of-sample predictive power with models that include principal components of macroeconomic variables and models with macroeconomic (see, for example, Jankowitsch et al., 2014 ).”