. In addition to considering a large set of macroeconomic variables, bond characteristics, and industry characteristics, we …-of-time. Examining the permutation importance of each group of explanatory variables, we find that bond characteristics, seniority dummy …

For ten years interest rates in the Eurozone have been declining. This has created a situation where loan or bond …

We present the framework for a distressed bond model. The utility is as a proxy for calculating the risk of a … distressed bond portfolio. We elaborate several possible implementations and give an example …

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

– at any reference date before maturity – implicit default propensities from observed bond quotes. This method is new to … propensity and the more traditional notions of default probability and recovery given default of a bond …