of the risky debt instruments. First we introduce a formal definition of the default. It somewhat close but does not … coincide with the reduced form of the default setting. …

We consider default by firms that are part of a single clearing mechanism. The obligations of all firms within the …

-based probability of default model which yields directly observ- able cash-fl ows at the loan level. The estimated model includes … the model and impact loans' probability of default and cure. Other loan-level covariates such as bank, Buy-to-Let status …, and vintage also impact loans' transition probabilities. Loss Given Default is also modelled over a three-year horizon …

panel techniques. The results indicate that the determinants of default on bank loans are unemployment, exchange rate …, industrial production, indebtedness and interest rate spreads. It is remarked that default events for the household sector occur …

In this study we develop a theoretical model for ultimate loss-given default in the Merton (1974) structural credit … at default and at resolution of default, utilizing an extensive sample of losses on defaulted firms (Moody’s Ultimate … default to the time of resolution. We find that parameter estimates vary significantly across recovery segments, that the …

. Returns are also increasing for issuers having superior ratings at origination, more leverage at default, higher cumulative … abnormal returns on equity prior to default, or greater market implied loss severity at default. Considering systematic factors …, returns on defaulted debt are positively related to equity market indices and industry default rates. On the other hand …