In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...

Based on a rich dataset of recoveries donated by a debt collection business, recovery rates for non-performing loans taken from a single European country are modelled using linear regression, linear regression with Lasso, beta regression and inflated beta regression. We also propose a two-stage...

The analysis of credit risk and its impacting factors are important topics for the European Investment Fund (EIF, the Fund) as the Fund provides guarantees to financial institutions for portfolios of loans and leases to micro- and small and medium sized-enterprises (SMEs). In this context, the...