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 analyzing 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. (...)

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.(...)

This paper discusses two of the primary motivating influences on the recent development/revisions of credit scoring models, - the important implications of Basel II’s proposed capital requirements on credit assets and the enormous amounts and rates of defaults and bankruptcies in the United...

The third-quarter 2002 default rate for high yield bonds was 4.95%, based on $37.48 billion of defaults. The quarterly default rate is the highest in history, surpassing the first quarter of 1991 rate of 4.80%.(...)

This paper analyzes the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship.(...)

This paper discusses two of the primary motivating influences on the recent development/revisions of credit scoring models, i.e., the important implications of Basel 2s proposed capital requirements on credit assets and the enormous amounts and rates of defaults and bankruptcies in the US in...

This paper has examined two specific aspects of stage 1 of the (BIS´s) Bank for International Settlement´s proposed reforms to the 8% risk-based capital ratio.(...)

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.(...)

In 2008 and 2009, bondholders of ailing companies were affected by a reemergenceof an important corporate restructuring strategy, known as a Distressed Exchange.Fourteen companies in 2008 completed this desperate attempt to avoid a formal bankruptcy filing – about twice as many as any single...