Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation

Bayes Factors

Robert E. Kass, Adrian E. Raftery · Journal of the American Statistical Association · 1995 · 12.3K citations

Natural Sciences, Behavioral Sciences, Bayesian Biostatistics +11

Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries

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Business, Finance, Financial Management +12

Frailty Correlated Default

Darrell Duffie, Andreas Eckner, Guillaume Horel et al. · The Journal of Finance · 2009 · 571 citations

Management, Finance, Risk Management +17

Recovery rates, default probabilities, and the credit cycle

Max Bruche, Carlos González-Aguado · Journal of Banking & Finance · 2009 · 228 citations

Business, Economics, Finance +16

Loss given default of high loan-to-value residential mortgages

Min Qi, Xiaolong Yang · Journal of Banking & Finance · 2008 · 198 citations

Business, Finance, Real Estate +12