Understanding the Recovery Rates on Defaulted Securities

By V. Acharya, Sreedhar T. Bharath, Anand Srinivasan. 2003

136 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8dab0f4bc7595a2c33547c242b062aa88c309863

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Citations in the corpus

Recovery Rates of Commercial Lending: Empirical Evidence for German Companies (2009, unknown): “19 In contrast: Acharya et al. (2004) detect a positive correlation, whereas Carey and Gordy (2003) find no correlation.”
Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures (2004, unknown): “(2003) and Acharya et al. (2003) find that the GDP is a superior proxy for systematic risk compared with, for example, changes in the S&P 500 stock index or other market-based indicators.”
Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005, background): “In recent empirical studies, Guha (2003) and Acharya, Bharath, and Srinivasan (2004) find that the recovery values of different bonds of a defaulted issuer usually are very similar across maturities and coupons.”
Too many to fail—An analysis of time-inconsistency in bank closure policies (2007, unknown): “(6) There is strong empirical support for this idea, as shown, for example, by Pulvino (1998) for the airline industry, and by Acharya, Bharath and Srinivasan (2003) for the entire universe of defaulted �rms in the United States over the period 1981 to 1999 (see also Berger, Ofek and Swary (1996),”
Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, methodology): “The empirical literature supporting this observation is large and growing; relevant papers include Acharya et al. (2003), Altman et al. (2003), Frye (2000), Frye (2003), and Hu and Perraudin (2002), to name a few. Altman et al. (2003) reviews much of the empirical research in detail.”
Bankruptcy Prediction With Industry Effects (2004, unknown): “In a recent study of the determinants of recovery rates of defaulted securities, Acharya et al. (2003) find that in addition to seniority and security of the defaulted securities, industry conditions at the time of default are found to be robust and important determinants of the recovery rates.”
Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K. (2008, methodology): “In regressions (2) to (4) we also include interactive variables for collateral and particular types of collateral, such as real estate collateral and debtors (we combine the UK and Germany where they are very similar).”