On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

Preprint

1 January 2003

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.411906

Abstract

In this paper we analyse recovery rates on defaulted bonds using the Standard and Poor's/PMD database for the years 1981-1999. Due to the specific nature of the

Keywords

DEFAULT
RECOVERY
KERNEL ESTIMATION
CREDIT RISK

This publication has 0 references indexed in Scilit: