The year 2002 was remarkably difficult on many fronts for most financial markets. For the high yield bond market, it was again a year of record amounts of defaults which contributed to low recovery rates and slightly negative absolute returns. The default rate registered a massive 12.8%, based...

Evidence from many countries in recent years suggests that collateral values and recovery rates 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 recovery rates and default rates has...

High yield bond defaults in 2003 declined significantly from record 2002 levels closing the year at $38.5 billion for a default rate of 4.66%. The fourth quarter s rate of 0.36% was the lowest quarterly rate since the fourth quarter of 1997. The default loss rate for 2003 also declined to just...

This paper analyzes the association between aggregate 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...

This paper has examined two specific aspects of stage 1 of the (BISacirc;not;quot;s) Bank for International Settlementacirc;not;quot;s proposed reforms to the 8% risk-based capital ratio. We arguethat relying on acirc;not;Straditionalacirc;not;? agency ratings could produce cyclically lagging rather...

In recent years, credit risk has played a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying and analysing credit risk models in order to find the elements which characterize a sound risk management system....

# The defaulted and distressed, public and private debt markets in the United States increased enormously to a record $942 billion (face value) at the end of 2002. The market value of this increasingly attractive alternative investment segment was approximately $512 billion.# Defaulted...

This paper analyzes the association between aggregate 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...

The role and performance of credit rating agencies are currently under debate. Several surveys conducted in the United States reveal that most investors believe that rating agencies are too slow in adjusting their ratings to changes in corporate creditworthiness. Well known is that agencies...

Surveys on the use of agency credit ratings reveal that some investors believe that rating agencies are relatively slow in adjusting their ratings. A well-accepted explanation for this perception on the timeliness of ratings is the quot;through-the-cyclequot; methodology that agencies use....