메뉴 건너뛰기




Volumn 33, Issue 3, 2009, Pages 505-513

Recovery rates of commercial lending: Empirical evidence for German companies

Author keywords

Bank loans; Credit risk; Recovery rate

Indexed keywords


EID: 58149170598     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.09.002     Document Type: Article
Times cited : (97)

References (52)
  • 1
    • 34547689672 scopus 로고    scopus 로고
    • Does industry wide distress affect defaulted firms? Evidence from creditor recoveries
    • Acharya V.V., Bharath S.T., and Srinivasan A. Does industry wide distress affect defaulted firms? Evidence from creditor recoveries. Journal of Financial Economics 85 (2007) 787-821
    • (2007) Journal of Financial Economics , vol.85 , pp. 787-821
    • Acharya, V.V.1    Bharath, S.T.2    Srinivasan, A.3
  • 2
    • 58149157433 scopus 로고    scopus 로고
    • Altman, E.I., Brady, B., Resti, A., Sironi, A., 2001. Analyzing and explaining default recovery rates. ISDA Research Report, December 2001.
    • Altman, E.I., Brady, B., Resti, A., Sironi, A., 2001. Analyzing and explaining default recovery rates. ISDA Research Report, December 2001.
  • 3
    • 32144456998 scopus 로고    scopus 로고
    • The link between default and recovery rates: Theory, empirical evidence, and implications
    • Altman E.I., Brady B., Resti A., and Sironi A. The link between default and recovery rates: Theory, empirical evidence, and implications. Journal of Business 78 (2005) 2203-2228
    • (2005) Journal of Business , vol.78 , pp. 2203-2228
    • Altman, E.I.1    Brady, B.2    Resti, A.3    Sironi, A.4
  • 4
    • 58149170116 scopus 로고    scopus 로고
    • An institutional innovation to reduce agency costs of public corporate bonds
    • Amihud Y., Garbade K., and Kahan M. An institutional innovation to reduce agency costs of public corporate bonds. Journal of Applied Corporate Finance (2000) 114-121
    • (2000) Journal of Applied Corporate Finance , pp. 114-121
    • Amihud, Y.1    Garbade, K.2    Kahan, M.3
  • 5
    • 0009752224 scopus 로고    scopus 로고
    • Credit spreads in the market of highly leveraged transaction loans
    • Angbazo L.A., Mei J., and Saunders A. Credit spreads in the market of highly leveraged transaction loans. Journal of Banking and Finance 22 (1998) 1249-1282
    • (1998) Journal of Banking and Finance , vol.22 , pp. 1249-1282
    • Angbazo, L.A.1    Mei, J.2    Saunders, A.3
  • 6
    • 58149160303 scopus 로고    scopus 로고
    • Measuring LGD on commercial loans: An 18-year internal study
    • Araten M., Jacobs Jr. M., and Varshney P. Measuring LGD on commercial loans: An 18-year internal study. The RMA Journal 4 (2004) 96-103
    • (2004) The RMA Journal , vol.4 , pp. 96-103
    • Araten, M.1    Jacobs Jr., M.2    Varshney, P.3
  • 7
    • 0001885070 scopus 로고
    • Measuring loss on defaulted bank loans. A 24-year-study
    • Asarnow E., and Edwards D. Measuring loss on defaulted bank loans. A 24-year-study. Journal of Commercial Lending, Edition 77 7 (1995) 11-23
    • (1995) Journal of Commercial Lending, Edition , vol.77 , Issue.7 , pp. 11-23
    • Asarnow, E.1    Edwards, D.2
  • 8
    • 58149157432 scopus 로고    scopus 로고
    • Bartlett, F., 2000. Secured loan recovery study: The UK experience, Europe Loan Products. Fitch IBCA, February 2000.
    • Bartlett, F., 2000. Secured loan recovery study: The UK experience, Europe Loan Products. Fitch IBCA, February 2000.
  • 9
    • 58149155927 scopus 로고    scopus 로고
    • Basel Committee on Banking Supervision, 2005. Guidance on Paragraph 468 of the Framework Document. July 2005.
    • Basel Committee on Banking Supervision, 2005. Guidance on Paragraph 468 of the Framework Document. July 2005.
  • 10
    • 58149164500 scopus 로고    scopus 로고
    • Basel Committee on Banking Supervision, 2006. International Convergence of Capital Measurement and Capital Standards. June 2006.
    • Basel Committee on Banking Supervision, 2006. International Convergence of Capital Measurement and Capital Standards. June 2006.
  • 12
    • 84933491229 scopus 로고
    • Some evidence on the empirical significance of credit rationing
    • Berger A.N., and Udell G.F. Some evidence on the empirical significance of credit rationing. Journal of Political Economy 100 (1992) 1047-1077
    • (1992) Journal of Political Economy , vol.100 , pp. 1047-1077
    • Berger, A.N.1    Udell, G.F.2
  • 13
    • 38249033570 scopus 로고
    • Competitive equilibrium in the credit market under asymmetric information
    • Besanko D., and Thakor A.V. Competitive equilibrium in the credit market under asymmetric information. Journal of Economic Theory 42 (1987) 167-182
    • (1987) Journal of Economic Theory , vol.42 , pp. 167-182
    • Besanko, D.1    Thakor, A.V.2
  • 14
    • 84981865845 scopus 로고
    • Screening vs. rationing in credit markets with imperfect information
    • Bester H. Screening vs. rationing in credit markets with imperfect information. American Economic Review 75 (1985) 850-855
    • (1985) American Economic Review , vol.75 , pp. 850-855
    • Bester, H.1
  • 15
    • 0001732022 scopus 로고
    • Contract costs, bank loans, and the cross-monitoring hypothesis
    • Booth J.R. Contract costs, bank loans, and the cross-monitoring hypothesis. Journal of Financial Economics 31 (1992) 25-41
    • (1992) Journal of Financial Economics , vol.31 , pp. 25-41
    • Booth, J.R.1
  • 16
    • 58149166225 scopus 로고    scopus 로고
    • Booth, J.R., Chua, L., 1996. Loan collateral decisions and corporate borrowing costs. Working Paper, Arizona State University, Tempe, AZ.
    • Booth, J.R., Chua, L., 1996. Loan collateral decisions and corporate borrowing costs. Working Paper, Arizona State University, Tempe, AZ.
  • 17
    • 58149157388 scopus 로고    scopus 로고
    • Bos, R.J., Kelhoffer, K., Keisman, D., 2002. Recovery research: Ultimative recovery in an era of record defaults. Standard & Poor's, July 2002.
    • Bos, R.J., Kelhoffer, K., Keisman, D., 2002. Recovery research: Ultimative recovery in an era of record defaults. Standard & Poor's, July 2002.
  • 18
    • 58149146853 scopus 로고    scopus 로고
    • Brunner, A., Krahnen, J.P., in press. Multiple lenders and corporate distress: Evidence on debt restructuring. Review of Economic Studies.
    • Brunner, A., Krahnen, J.P., in press. Multiple lenders and corporate distress: Evidence on debt restructuring. Review of Economic Studies.
  • 19
    • 58149164501 scopus 로고    scopus 로고
    • Carty, L.V., Lieberman, D., 1996. Defaulted bank loan recoveries. Moody's Investors Service, November 1996.
    • Carty, L.V., Lieberman, D., 1996. Defaulted bank loan recoveries. Moody's Investors Service, November 1996.
  • 20
    • 58149161177 scopus 로고    scopus 로고
    • Carty, L.V., 1998. Bankrupt bank loan recoveries. Moody's Investors Service, June 1998.
    • Carty, L.V., 1998. Bankrupt bank loan recoveries. Moody's Investors Service, June 1998.
  • 21
    • 0002582975 scopus 로고
    • Asymmetric valuations and the role of collateral in loan agreements
    • Chan Y.S., and Kanatas G. Asymmetric valuations and the role of collateral in loan agreements. Journal of Money, Credit and Banking 17 (1985) 84-95
    • (1985) Journal of Money, Credit and Banking , vol.17 , pp. 84-95
    • Chan, Y.S.1    Kanatas, G.2
  • 22
    • 36049042688 scopus 로고    scopus 로고
    • Joint size and ownership specialization in bank lending
    • Delgado J., Salas V., and Saurina J. Joint size and ownership specialization in bank lending. Journal of Banking and Finance 31 (2007) 3563-3583
    • (2007) Journal of Banking and Finance , vol.31 , pp. 3563-3583
    • Delgado, J.1    Salas, V.2    Saurina, J.3
  • 23
    • 58149160341 scopus 로고    scopus 로고
    • Dermine, J., Neto de Carvalho, C., 2005. Bank loan losses-given-default, a case study. Working Paper, March 2005.
    • Dermine, J., Neto de Carvalho, C., 2005. Bank loan losses-given-default, a case study. Working Paper, March 2005.
  • 24
    • 58149155894 scopus 로고    scopus 로고
    • Severity of loss in the event of default in small business and larger consumer loans
    • Eales R., and Bosworth E. Severity of loss in the event of default in small business and larger consumer loans. The Journal of Lending and Credit Risk Management (1998) 58-65
    • (1998) The Journal of Lending and Credit Risk Management , pp. 58-65
    • Eales, R.1    Bosworth, E.2
  • 25
    • 58149144204 scopus 로고    scopus 로고
    • Emery, K., 2003. Moody's loan default database as of November 2003. Moody's Investors Service, December 2003.
    • Emery, K., 2003. Moody's loan default database as of November 2003. Moody's Investors Service, December 2003.
  • 26
    • 58149164517 scopus 로고    scopus 로고
    • Felsovalyi, A., Hurt, L., 1998. Measuring loss on Latin American defaulted bank loans: A 27-year study of 27 countries. Journal of Lending and Credit Risk Management.
    • Felsovalyi, A., Hurt, L., 1998. Measuring loss on Latin American defaulted bank loans: A 27-year study of 27 countries. Journal of Lending and Credit Risk Management.
  • 27
    • 58149152481 scopus 로고    scopus 로고
    • Franks, J., de Servigny, A., Davydenko, S., 2004. A comparative analysis of the recovery process and recovery rates for private companies in the UK, France, and Germany. Standard and Poor's Risk Solutions, June 2004.
    • Franks, J., de Servigny, A., Davydenko, S., 2004. A comparative analysis of the recovery process and recovery rates for private companies in the UK, France, and Germany. Standard and Poor's Risk Solutions, June 2004.
  • 28
    • 58149157431 scopus 로고    scopus 로고
    • Grossman, R.J., Brennan, W.T., Vento, J., 1997. Syndicated bank loan recovery study. Fitch Research, October 1997.
    • Grossman, R.J., Brennan, W.T., Vento, J., 1997. Syndicated bank loan recovery study. Fitch Research, October 1997.
  • 29
    • 58149142465 scopus 로고    scopus 로고
    • Gupton, G.M., Gates, D., Carty, L.V., 2000. Bank loan loss given default. Moody's Investors Service, November 2000.
    • Gupton, G.M., Gates, D., Carty, L.V., 2000. Bank loan loss given default. Moody's Investors Service, November 2000.
  • 30
    • 58149162782 scopus 로고    scopus 로고
    • TM: Moody's model for predicting loss given default (LGD). Moody's Investors Service, 2002.
    • TM: Moody's model for predicting loss given default (LGD). Moody's Investors Service, 2002.
  • 31
    • 58149173129 scopus 로고    scopus 로고
    • Hamilton, D.T., Carty, L.V., 1999. Debt recoveries for corporate bankruptcies. Moody's Investors Service, 1999.
    • Hamilton, D.T., Carty, L.V., 1999. Debt recoveries for corporate bankruptcies. Moody's Investors Service, 1999.
  • 32
    • 58149168369 scopus 로고    scopus 로고
    • Hamilton, D.T., Gupton, G., Berthault, A., 2001. Default & recovery rates of corporate bond issuers: 2000. Moody's Investors Service, 2001.
    • Hamilton, D.T., Gupton, G., Berthault, A., 2001. Default & recovery rates of corporate bond issuers: 2000. Moody's Investors Service, 2001.
  • 33
    • 58149144228 scopus 로고    scopus 로고
    • Hamilton, D.T., Cantor, R., Ou, S., 2002. Default & recovery rates of corporate bond issuers: A statistical review of Moody's ratings performance 1970-2001. Moody's Investors Service, 2002.
    • Hamilton, D.T., Cantor, R., Ou, S., 2002. Default & recovery rates of corporate bond issuers: A statistical review of Moody's ratings performance 1970-2001. Moody's Investors Service, 2002.
  • 34
    • 58149149285 scopus 로고    scopus 로고
    • Hamilton, D.T., Varma, P., Ou, S., Cantor, R., 2004. Default & recovery rates of corporate bond issuers: A statistical review of Moody's ratings performance 1920-2003. Moody's Investors Service, January 2004.
    • Hamilton, D.T., Varma, P., Ou, S., Cantor, R., 2004. Default & recovery rates of corporate bond issuers: A statistical review of Moody's ratings performance 1920-2003. Moody's Investors Service, January 2004.
  • 36
    • 3242881061 scopus 로고    scopus 로고
    • Collateral, type of lender and relationship banking as determinants of credit risk
    • Jiménez G., and Saurina J. Collateral, type of lender and relationship banking as determinants of credit risk. Journal of Banking and Finance 28 (2004) 2191-2212
    • (2004) Journal of Banking and Finance , vol.28 , pp. 2191-2212
    • Jiménez, G.1    Saurina, J.2
  • 37
    • 58149155929 scopus 로고    scopus 로고
    • Mexican bankruptcy and recovery rate study
    • Kabance G. Mexican bankruptcy and recovery rate study. Fitch IBCA (2001) 2001
    • (2001) Fitch IBCA , pp. 2001
    • Kabance, G.1
  • 38
    • 58149175298 scopus 로고    scopus 로고
    • TM Database, Working Paper.
    • TM Database, Working Paper.
  • 39
    • 0000407626 scopus 로고    scopus 로고
    • Bank behavior based on internal credit ratings of borrowers
    • Machauer A., and Weber M. Bank behavior based on internal credit ratings of borrowers. Journal of Banking and Finance 22 (1998) 1355-1383
    • (1998) Journal of Banking and Finance , vol.22 , pp. 1355-1383
    • Machauer, A.1    Weber, M.2
  • 40
  • 41
    • 0007704390 scopus 로고    scopus 로고
    • Collateral versus project screening: A model of lazy banks
    • Manove M., and Padilla A.J. Collateral versus project screening: A model of lazy banks. RAND Journal of Economics 32 (2001) 726-744
    • (2001) RAND Journal of Economics , vol.32 , pp. 726-744
    • Manove, M.1    Padilla, A.J.2
  • 42
    • 58149171423 scopus 로고    scopus 로고
    • Norden, L., Weber, M., 2005. Funding modes of German banks: Structural changes and their implications. CEPR Discussion Paper 5027, CEPR, London.
    • Norden, L., Weber, M., 2005. Funding modes of German banks: Structural changes and their implications. CEPR Discussion Paper 5027, CEPR, London.
  • 43
    • 58149170137 scopus 로고    scopus 로고
    • Norden, L., Wagner, W., in press. Credit derivatives and loan pricing. Journal of Banking and Finance.
    • Norden, L., Wagner, W., in press. Credit derivatives and loan pricing. Journal of Banking and Finance.
  • 44
    • 58149157413 scopus 로고    scopus 로고
    • Organisation for Economic Co-Operation and Development, 2001. Bank profitability: Financial statements of banks.
    • Organisation for Economic Co-Operation and Development, 2001. Bank profitability: Financial statements of banks.
  • 46
    • 58149146833 scopus 로고    scopus 로고
    • Bank loan and bond recovery study: 1997-2000
    • O'Shea S., Bonelli S., and Grossman R. Bank loan and bond recovery study: 1997-2000. Fitch IBCA (2001) 2001
    • (2001) Fitch IBCA , pp. 2001
    • O'Shea, S.1    Bonelli, S.2    Grossman, R.3
  • 47
    • 6444225982 scopus 로고    scopus 로고
    • On the way to recovery: A nonparametric bias-free estimation of recovery rates densities
    • Renault O., and Scaillet O. On the way to recovery: A nonparametric bias-free estimation of recovery rates densities. Journal of Banking and Finance 28 (2004) 2915-2931
    • (2004) Journal of Banking and Finance , vol.28 , pp. 2915-2931
    • Renault, O.1    Scaillet, O.2
  • 48
    • 38249038637 scopus 로고
    • The effect of the bankruptcy reform act of 1978 on small business loan pricing
    • Scott J.A., and Smith T.C. The effect of the bankruptcy reform act of 1978 on small business loan pricing. Journal of Financial Economics 16 (1986) 119-140
    • (1986) Journal of Financial Economics , vol.16 , pp. 119-140
    • Scott, J.A.1    Smith, T.C.2
  • 49
    • 84977721574 scopus 로고
    • Liquidation values and debt capacity: A market equilibrium approach
    • Shleifer A., and Vishny R.W. Liquidation values and debt capacity: A market equilibrium approach. Journal of Finance 4 (1992) 1343-1366
    • (1992) Journal of Finance , vol.4 , pp. 1343-1366
    • Shleifer, A.1    Vishny, R.W.2
  • 50
    • 0034363463 scopus 로고    scopus 로고
    • Bankruptcy auctions: Costs, debt recovery and firm survival
    • Thorburn K.S. Bankruptcy auctions: Costs, debt recovery and firm survival. Journal of Financial Economics 58 (2000) 337-368
    • (2000) Journal of Financial Economics , vol.58 , pp. 337-368
    • Thorburn, K.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.