Credit Risk in Private Debt Portfolios

Abstract
Default, loss severity, and average loss rates for a large sample of privately placed bonds are presented and compared with loss experience for publicly issued bonds. Results show ex ante riskier classes of private debt perform better on average than public debt.
Volume
53:4
Page
1363-1387
Year
1998
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Credit Spreads
Actuarial Applications and Methodologies
Capital Management
Debt
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance
Authors
Mark Carey