In this paper, we empirically investigate two economic issues (1) the factors that affect the primary market spread on non-U.S. asset-backed securities and (2) whether investors rely solely on credit ratings and ignore other credit-related factors. We do so by using a panel-data fixed-effects...

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...

The recovery rate on defaulted corporate bonds has a time-varying distribution. We propose machine learning approaches for intertemporal analysis of U.S. corporate bonds' recovery rates with a large number of predictors. The most informative macroeconomic variables are selected from a broad...