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.(...)

While extensive research on the relationship between credit risk and spreads has been produced for bonds and loans separately, few studies have analyzed them jointly. We derive a simple structural model where a stochastic default barrier accounts for informational noise, and differences between...

The Federal Deposit Insurance Corporation (FDIC) has recently tested credit risk measurement models used by large international banks to measure the risk of their portfolios in order to measure the risk of default of its insured banks' deposits. Using both balance sheet and equity market data...

One of the major objectives of the 1988 Basel Accord was that of leveling the international playing field. While evaluating the contribution of the Accord remains a very difficult task because of the many factors involved, it is clear that relevant cross-country differences in the cost of equity...

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. Moreover, it simulates the effects on mandatory capital...

The question of which factors are relevant in determining corporate bonds pricing is empirically investigated by analyzing the issuance spreads of eurobonds completed by Canadian, European, Japanese and U.S. companies during the 1991-2001 eleven year period. A unique dataset of spreads, ratings...

During the last twenty years an increasing number of proposals to improve bank market discipline through the introduction of a mandatory subordinated debt policy (MSDP) have been presented and critically discussed by academic economists and bank regulators. While theoretical issues are key in...

The question of whether private investors can discriminate between the risk taken by banks is empirically investigated by testing the risk sensitivity of European banks? subordinated notes and debentures (SND) spreads. A unique dataset of spreads, ratings and accounting measures of bank risk is...

The question of whether private investors can discriminate between the risk taken by banks is empirically investigated by testing the risk sensitivity of European banks' subordinated notes and debentures (SND) spreads. A unique dataset of spreads, ratings and accounting measures of bank risk is...

During the last twenty years an increasing number of proposals to improve bank market discipline through the introduction of a mandatory subordinated debt policy (MSDP) have been presented and critically discussed by academic economists and bank regulators. While theoretical issues are key in...