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Kalotay et al., 2017 - Google Patents

Intertemporal forecasts of defaulted bond recoveries and portfolio losses

Kalotay et al., 2017

Document ID
4560698255942736329
Author
Kalotay E
Altman E
Publication year
Publication venue
Review of Finance

External Links

Snippet

Variation in the composition of the defaulted debt pool and credit conditions at the time of default generate time variation in the distribution of recoveries on defaulted debt, and the related distribution of losses on portfolios of credit sensitive debt. We quantify the importance …
Continue reading at academic.oup.com (other versions)

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