Through an empirical analysis of the US speculative-grade bond market we show that recovery rates tend to be lower as default rates increase. By means of a multivariate model we discuss the possibile causes and explanations for this funding.
The PD/LGD link: Empirical Evidence from the Bond Market
RESTI, ANDREA CESARE;SIRONI, ANDREA
2005
Abstract
Through an empirical analysis of the US speculative-grade bond market we show that recovery rates tend to be lower as default rates increase. By means of a multivariate model we discuss the possibile causes and explanations for this funding.
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