We propose a relatively simple, accurate and flexible approach to forecasting the distribution
of defaulted debt recovery outcomes. Our approach is based on mixtures of Gaussian …

We approximate the likelihood of default inferred from equity prices using accounting-based
measures, firm characteristics and industry-level expectations. Such empirical …

Variation in the composition of the defaulted debt pool and credit conditions at the time of
default generate time variation in the distribution of recoveries on defaulted debt, and the …

Canonical valuation is a nonparametric method for valuing derivatives proposed by M.
Stutzer (1996). Although the properties of canonical estimates of option price and hedge ratio …

Lettau and Ludvigson [Lettau, M., Ludvigson, S, 2001. Consumption, aggregate wealth and
expected stock returns. Journal of Finance 56, 815–849] argue that fluctuations from the …

The foundation of popular approaches to portfolio construction and performance measurement
lies in the mean-variance framework of Markowitz (1952, 1959). However, the suitability …

We present in this paper an intuitive Bayesian approach to modeling the distribution of
discounted ultimate recoveries on defaulted debt using mixtures of distributions. We show that the …

The multivariate normality of stock returns is a crucial assumption in many tests of assets
pricing models. While past Australian research has examined the univariate normality of returns…

This study assesses sovereign default risk of individual US states utilizing information about
default risk at the company level. We link integrated risk factors of the private sector to the …

… Pope (editor), Neil Fargher, Egon Kalotay, Michael O'Brien and seminar participants at …
Pope (editor), Neil Fargher, Egon Kalotay, Michael O'Brien and seminar participants at Macquarie …