Peter Chang

Standard & Poor's - Quantitative Analytics

55 Water Street

New York, NY 10041

United States

SCHOLARLY PAPERS

3

DOWNLOADS

727

SSRN CITATIONS

2

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Discount Rate for Workout Recovery: An Empirical Study

Number of pages: 45 Posted: 08 Jun 2006 Last Revised: 28 Oct 2007
Standard & Poor's Risk Solutions, Standard & Poor's - Quantitative Analytics, McMaster University - DeGroote School of Business, Standard & Poor's and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 727 (43,758)
Citation 10

Abstract:

Loading...

Basel II, Loss Given Default, Recovery Risk, Risk Premium, Discount Rate, Workout Recovery, Defaulted Bonds and Loans

2.

Economy-Wide Bond Default Rates: A Maximum Expected Utility Approach

Journal of Banking & Finance, Vol. 30, No. 2, pp. 679-693, February 2006
Posted: 11 Jan 2006 Last Revised: 14 Nov 2011
Standard & Poor's - Quantitative Analytics, State++, affiliation not provided to SSRN and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...

maximum expected utility, bond default rates, entropy

3.

Time-Dependent Recovery Rates of Defaulted Debt

EEVENT RISK, Marco Avellaneda, ed., Risk Books, Forthcoming
Posted: 02 Nov 2005
Standard & Poor's - Quantitative Analytics, State++, Standard & Poor's - Quantitative Analytics and Standard & Poor's - Quantitative Analytics

Abstract:

Loading...