Altman, Edward I.; Brady, Brooks; Resti, Andrea; … - In: The Journal of Business 78 (2005) 6, pp. 2203-2228
This paper analyzes the association between default and recovery rates on credit assets and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults over the period 1982–2002. Our econometric univariate and multivariate models explain a...