The Dependence of Recovery Rates and Defaults

By W. Perraudin, Yen-Ting Hu. 2006

142 citations recorded by the source corpus.

Subfields: Finance

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Measuring and Managing Credit Risk (2004, methodology): “To tackle this issue, nonparametric techniques have been proposed by Hu and Perraudin (2002) and Renault and Scaillet (2003).”
Measuring LGD on Commercial Loans: An 18-Year Internal Study (2004, background): “Hu et al. (2002) perform an analysis of bond recovery and default rates that has greater comparability to what is done here.”
Generalized beta regression models for random loss given default (2008, methodology): “Based on the results of a nonparametric estimation procedure, Hu and Perraudin (2002) further showed that, without taking the correlation between probability of default (PD) and LGD into account, the economic capital, or value-at-risk (VaR), of a loan portfolio can be significantly underestimated.”
Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures (2004, methodology): “Based on the assumption of log–normally distributed recovery rates, the LGD–density function is slightly skewed towards the right and shows the typical fat-tailed behavior; the maximum likelihood is reached at an LGD of 56.5% which is approximately what we found for normally distributed LGD. Figure ”