type="main" xml:lang="en" <p>Internal ratings represent an important input to the new generation of ‘credit portfolio models’ and to the new capital requirements proposed by the Basel Committee on Banking Supervision; however, their reliability must be validated. In this paper, we first recall...</p>

Evidence from many countries in recent years suggests that collateral values and recovery rates (RRs) on corporate defaults can be volatile and, moreover, that they tend to go down just when the number of defaults goes up in economic downturns. This link between RRs and default rates has...