Corporate Financial Distress, Restructuring, and Bankruptcy by Edward I. Altman, Edith Hotchkiss, and Wei Wang (Wiley, ISBN 978-1-119-48180-5)
← Previous: Recovery Rate Modeling Basics | Next: Series Closing →
Corporate Financial Distress, Restructuring, and Bankruptcy by Edward I. Altman, Edith Hotchkiss, and Wei Wang (Wiley, ISBN 978-1-119-48180-5)
← Previous: Distressed Debt Investment Returns | Next: Recovery Rates Empirical Evidence →
Book: Financial Risk Manager Handbook Plus Test Bank
Author: Philippe Jorion
ISBN: 978-0-470-90401-5
Default probability tells you how often you lose. Recovery rate tells you how much you lose when it happens. Chapter 20 part two is all about LGD, and Jorion makes clear that recovery is not a constant you pull from a table and forget.