A Two-Stage Probit Model for Predicting Recovery Rates

We propose a two-stage probit model (TPM) to predict recovery rates. By the ordinal nature of the three categories of recovery rates: total loss, total recovery, and lying between the two extremes, we first use the ordered probit model to predict the category that a given debt belongs to among the t...

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Veröffentlicht in:	Journal of financial services research 2016-12, Vol.50 (3), p.311-339
Hauptverfasser:	Hwang, Ruey-Ching, Chung, Huimin, Chu, C. K.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond ratings Decision trees Economic models Economic statistics Economic theory Economics and Finance Finance Financial instruments Financial Services Macroeconomics Macroeconomics/Monetary Economics//Financial Economics Random variables Regression analysis Studies
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