Concepedia

Default Recovery Analysis

Default Recovery Analysis is a quantitative framework in credit risk modeling that specifically measures the expected financial recovery rate from defaulted tenants through asset repossession, legal proceedings, or settlement mechanisms, distinguishing it from broader default prediction models by focusing on post-default loss mitigation outcomes.

23

Publications

674

Citations

50

Authors

37

Institutions

Publications per year

2017–2026

2

Parents

Publications

23

Understanding the Recovery Rates on Defaulted Securities

Viral V. Acharya, Sreedhar T. Bharath, Anand Srinivasan · SSRN Electronic Journal · 2003 · 119 citations · Full text

, , +17

An Analytical Model of Interest Rate Differentials and Different Default Recoveries

Jess B. Yawitz · Journal of Financial and Quantitative Analysis · 1977 · 66 citations

, , +17

Mortgage Default and Possession Under Recourse: A Competing Hazards Approach

Bart M. Lambrecht, William Perraudin, Stephen Satchell · Journal of money credit and banking · 2003 · 53 citations

, , +14

MODELING THE RECOVERY RATE IN A REDUCED FORM MODEL

Xin Guo, Robert A. Jarrow, Yan Zeng · Mathematical Finance · 2009 · 48 citations

, , +16

A Multifactor Approach for Systematic Default and Recovery Risk

Daniel Rösch, Harald Scheule · The Journal of Fixed Income · 2005 · 47 citations

, , +17

1–5 of 23

Authors

50

  1. DM
    Daniel M. Covitz

    Federal Reserve, United States

    2 publications · 73 citations

    2

    h-index

  2. CI
    Carlos I. Medeiros

    International Monetary Fund, United States

    2 publications · 27 citations

    2

    h-index

  3. CC
    Christian Capuano

    International Monetary Fund, United States

    2 publications · 27 citations

    2

    h-index

  4. MS
    Marcos Souto

    International Monetary Fund, United States

    2 publications · 27 citations

    2

    h-index

  5. AS
    Andre Santos

    International Monetary Fund, United States

    2 publications · 27 citations

    2

    h-index

1–5 of 50

Institutions

37

  1. New York University

    New York, United States

    4 h-index

    5 publications

    67 citations

  2. International Monetary Fund

    Washington D.C., United States

    2 h-index

    4 publications

    61 citations

  3. Federal Reserve

    Washington D.C., United States

    2 h-index

    4 publications

    146 citations

  4. Federal Reserve Board of Governors

    Washington D.C., United States

    2 h-index

    4 publications

    146 citations

  5. University of California, Berkeley

    Berkeley, United States

    1 h-index

    1 publications

    48 citations

  6. Financial Services Authority

    London, United Kingdom

    1 h-index

    1 publications

    17 citations

  7. University of Konstanz

    Konstanz, Germany

    1 h-index

    3 publications

    126 citations

  8. Bank of Canada

    Ottawa, Canada

    1 h-index

    1 publications

    13 citations

1–8 of 37

Venues

  1. SSRN Electronic Journal

    Repository · 5 publications · 199 citations

    5

    h-index

  2. Journal of money credit and banking

    2 publications · 95 citations

    2

    h-index

  3. The Journal of Fixed Income

    2 publications · 57 citations

    2

    h-index

  4. Econstor (Econstor)

    Repository · 1 publications · 15 citations

    1

    h-index

  5. Pacific-Basin Finance Journal

    1 publications · 13 citations

    1

    h-index

1–5