[PDF][PDF] Modeling ultimate loss-given-default on corporate debt

M Jacobs Jr, AK Karagozoglu - Journal of Fixed Income, 2011 - researchgate.net
Loss given default (LGD) is a critical parameter in various facets of credit risk modeling. This
study empirically investigates the determinants of LGD and builds alternative predictive …

[PDF][PDF] Modeling Ultimate Loss-Given-Default and Time-to-Resolution on Corporate Debt

M Jacobs Jr - Available at SSRN 4738268, 2024 - michaeljacobsjr.com
Abstract Loss-given-default (“LGD”) is a critical parameter in modeling the credit risk of
instruments subject to default risk, in addition to various other facets of credit risk modeling …

Implications of Default Information Leakage on Recoveries

H Mao-Wei, WH Tsai - The Journal of Fixed Income, 2020 - search.proquest.com
Using time-series recoveries implicit in 334 defaulted bonds issued by bankruptcy-filing
firms in the United States, this article examines the influence from default information …

[PDF][PDF] Negotiating Debt Terms in Bankruptcy Courts

D Parnes - academia.edu
We theorize how bondholders and shareholders negotiate debt terms after a firm has
already filed for bankruptcy. We construct four bargaining games with different information …

The Life Expectancy of Fallen Angels

D Parnes, S Akron - The Journal of Investing, 2017 - pm-research.com
In this study, we develop analytic derivations for the projected mean and median times to
default for high-yield bonds that have been previously downgraded from investment-grade …

A credit value adjustment scheme for bank loan portfolios

D Parnes - Journal of Credit Risk, 2014 - papers.ssrn.com
In this study we develop an analytical scheme that integrates a large spectrum of typical
bank loans and credits, accommodates common bank loan portfolio chronological inter …

Negotiating Debt Covenants in Bankruptcy Court

D Parnes - Available at SSRN 1354163, 2009 - papers.ssrn.com
In this paper we theorize how bondholders and shareholders negotiate debt covenants after
a firm has already filed for bankruptcy. This event triggers unique turmoil in the transfer of …

[CITATION][C] The Life Expectancy of Junk Bonds

D Parnes