کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5089047 | 1478335 | 2014 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Ultimate recovery mixtures
ترجمه فارسی عنوان
مخلوط بازیابی نهایی
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We propose a relatively simple, accurate and flexible approach to forecasting the distribution of defaulted debt recovery outcomes. Our approach is based on mixtures of Gaussian distributions, explicitly conditioned on borrower characteristics, debt instrument characteristics and credit conditions at the time of default. Using Moody's Ultimate Recovery Database, we show that our mixture specification yields more accurate forecasts of ultimate recoveries on portfolios of defaulted loans and bonds on an out-of-sample basis than popular regression-based estimates. Further, the economically interpretable outputs of our model provide a richer characterization of how conditioning variables affect recovery outcomes than competing approaches. The latter benefit is of particular importance in understanding shifts in the relative likelihood of extreme recovery outcomes that tend to be realized more frequently than observations near the distributional mean.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 40, March 2014, Pages 116-129
Journal: Journal of Banking & Finance - Volume 40, March 2014, Pages 116-129
نویسندگان
Edward I. Altman, Egon A. Kalotay,