Preliminary ! Incomplete Draft ! Measuring Systematic Risk in Recoveries on Defaulted Debt I : Firm-Level Ultimate LGDs

@inproceedings{Carey2004PreliminaryI,
  title={Preliminary ! Incomplete Draft ! Measuring Systematic Risk in Recoveries on Defaulted Debt I : Firm-Level Ultimate LGDs},
  author={Mark J. Carey and Michael B. Gordy},
  year={2004}
}
Several recent empirical papers report evidence of significant systematic variation in recovery rates on defaulted corporate debt, implying that the convenient assumption of independent recovery rates found in most defaultable debt pricing models and portfolio credit risk models is unrealistic. However, such work has used recoveries on individual assets. These are claims on the value of the bankrupt firm at emergence, so systematic variation in such firm value is the most natural source of… CONTINUE READING