<<
>>

1 . (2001) : , // 8.

2 .. : // , 2006

3 ..

. .: . : Academia, 2011.

4 .., .., .., .., .., .., .., .. : , .: .. : , 2011. 531 .

5 , 19 (264) 24.05.2010, .

6 . . (2010) . , .: .

7 .. // . - 2006. - 6. - . 5 - 9.

8

,

http://www.economy.gov.ru/minec/activity/sections/macro/politic/doc1239 893148108

9 . . . , . : , 2002

10 . . (2007) // 1, . 20 - 30; 2. - . 11 - 22., 3. - . 18 - 25.

11 - 25.12.2008

12 118 2012 1

13 , -

,

http://www.economy.gov.ru/minec/press/doc1242311886548

14 26 1999 . 696 (, ), (, ), , ;

15 23 1999 N 68- " , "

16 25 2008 . 1243-

17 , M.: , 2012.

18 () 26.10.2002 127-

19 .. : // .; , 2005 . 330.

20 .. .., .. . // .- , 1997 459.

21 -. : - , 2005.

22 -. / .

.. ... - 2- . - .: , 2006. - 878

23 Acharya V., Bharath S., Srinivasan A. (2003) Understanding the Recovery Rates of Defaulted Securities, Working Paper URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=442901, 2003.

24 Altman E., Brady B., Resti A., Sironi A.

(2003) Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence, NYU Salomon Center, Stern School of Business.

25 Altman E., Brady B., Resti A., Sironi (2001) A. Analyzing and Explaining Default Recovery Rates, ISDA Research Report.

26 Altman, E., Brady B., Resti A., Sironi (2005) A. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications, Journal of Business, 78(6), 2203-2227.

27 Altman E., Kishore V. (1996) Almost Everything You Wanted to Know About Recoveries on Defaulted Bonds, Financial Analysts Journal.

28 Altman E., Hotchkiss E. (2006) Corporate Financial Distress and Bankruptcy: Predict and Avoid Bankruptcy, Analyze and Invest in Distressed Debt, John Wiley & Sons; 3rd Edition, 368 p.

29 Amato J., Remolona E. (2003) The credit spread puzzle', BIS Quartely Review.

30 Amihud Y., Garbade K., Kahan M. (2000) An Institutional Innovation to Reduce Agency Costs of Public Corporate Bonds, Journal of Applied Corporate Finance, 114-121.

31 Bakshi G., Madan D., Zhang F. (2001) Recovery in Default Risk Modeling: Theoretical Foundations and Empirical Applications, FEDS 2001-37.

32 Barco M. (2007) Going downturn, Risk, pp. 38-44.

33 Basel Committee on Banking Supervision (2001), The New Basel Capital

Accord, http://www.bis.org/publ/bcbsca03.pdf. :

" : " ( II, 2005) . 468. http://www.cbr.ru/today/pk/basel.htm

34 Basel Committee on Banking Supervision (2001), The Internal Ratings Based Approach, URL: http://www.bis.org/publ/bcbsca05.pdf.

35 Bastos, J.A. (2010) Forecasting bank loans loss-given-default, Journal of Banking and Finance, 34, 2510-2517.

36 Black F., Cox J. (1976) Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance, 31, 351-367.

37 Black F., Scholes M., (1973) The Pricing of Options and Corporate Liabilities, The Journal of Political Economy, Vol. 81, No. 3, pp. 637-654

38 Covitz D., Han S. (2004) An Empirical Analysis of Bond Recovery Rates: Exploring a Structural View of Default, Federal Reserve Board, Division of Research and Statistics.

39 Carey M. (1998) Credit Risk in Private Debt Portfolios, Journal of Finance, 53(4), 1363-1387.

40 Carey M., Gordy M. (2003) Systematic Risk in Recoveries on Defaulted Debt, mimeo, Federal Reserve Board, Washington.

41 Carey, M., Gordy M. (2007) The Bank as Grim Reaper: Debt Decomposition and Recoveries on Defaulted Debt, Working Paper, The Board of Governors of the Federal Reserve System.

42 Crosbie P. (1999) Modeling Default Risk, mimeo, KMV Corporation, San Francisco, CA.

43 Crouhy M., Galai D., Mark R. (2000) A Comparative Analysis of Current Credit Risk Models, Journal of Banking & Finance, 24, 59-117.

44 Damodaran A. (2002) Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, Wiley, 2nd edition.

45 Davydenko S., Strebuleav I. (2002) Strategic Behavior, Capital Structure and Credit Spreads: An Empirical Investigation, Working Paper, London Business School.

46 Duffie D. (1998) Defaultable Term Structure Models with Fractional Recovery of Par, Graduate School of Business, Stanford University.

47 Duffie D., Singleton K. J. (1999) Modeling the Term Structures of Defaultable Bonds, Review of Financial Studies, 12, 687-720.

48 Duffie D., Singleton K. (1999) Modeling the Term Structures of Defaultable Bonds, Review of Financial Studies, 12, 687-720.

49 Dullman K., Trapp M. (2004) Systematic Risk in LGD - An Empirical Analysis, Working Paper, University of Mannheim.

50 Eberhart A. C., Moore W. T., Roenfeldt R. L. (1990) Security Pricing and Deviations from the Absolute Priority Rule in Bankruptcy Proceedings, The Journal of Finance, Vol. 45, No. 5, pp. 1457-1469.

51 Eberhart A., Sweeney R.J. (1992) Does the Bond Market Predict Bankruptcy Settlements?, Journal of Finance, 47 (3), 943-980.

52 Eberhart A., Weiss L. (1998) The Importance of Deviations from the Absolute Priority Rule in Chapter 11 Bankruptcy Proceedings, Financial Management, 27 (4), 106-110.

53 Emery, K. (2003) Moody's Loan Default Database as of November 2003, Moody's Investors Service.

54 Eom Y., Helwege J., Jing-zhi H. (2001) Structural Models of Corporate Bond Pricing: An Empirical Analysis, mimeo.

55 Falkenstein E., Boral A., Carty L. (2000) RiskCalc For Private Companies: Moody's Default Model, Moody's Investors Services, Global Credit Research.

56 Finger C. (1999), Conditional Approaches for CreditMetrics: Portfolio Distributions, CreditMetrics Monitor.

57 Franks J., Torous, W. (1989) An Empirical Investigation of U.S. Firms in Reorganization, Journal of Finance 44, 747-769.

58 Friedman C., Sandow S. (2003) Ultimate recoveries, Risk 16(8), 69-73.

59 Frolov A., Maisuradze V. (2011) Russian High-Yield Corporates: Russian High-Yield Corporates: Rouble-Denominated Bond Ratings vs.Corporate Family Ratings: Key Differences Explained, Moody's Investors Services, Special Comment.

60 Frye J. Collateral Damage. Risk, 91-4.

61 Frye J. (2000b) Collateral damage detected, Working paper of Federal Reserve Bank of Chicago.

62 Frye J. (2000c) Depressing Recoveries. Risk, 108-11.

63 Geske R. (1977) "The Valuation of Corporate Liabilities as Compound Options", Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, pp. 541-552.

64 Gordy M. (2003) A risk-factor model foundation for ratings-based bank capital rules, Journal of Financial Intermediation, vol. 12, pp. 199-232.

65 Grossman R., O'Shea S., Bonelli S. (2001) Bank Loan and Bond Recovery Study: 1997-2000. Fitch Loan Products Special Report.

66 Gujarati D. (1995) Basic Econometrics, McGraw-Hill International Editions, 3d Edition.

67 Guha R. (2003) Recovery of Face Value at Default: Empirical Evidence and Implications for Credit Risk Pricing, Working Paper, London Business School.

68 Gupton G. M., Finger C.C., Bhatia M., (1997), CreditMetrics -Technical Document, J.P.Morgan & Co., New York.

69 Gupton G. M., Stein R. M. (2002) LossCalcTM: Model for Predicting Loss Given Default. Moody's KMV, New York.

70 Gupton, G.M., Stein R.M. (2005) LossCalc V2: Dynamic Prediction of LGD Modeling Methodology, Moody's KMV.

71 Hamilton D., Cantor R. (2002) Default and recovery rates of European Corporate Bond Issuers, 1985-2001, Moody's Investor Service, Global Credit Research.

72 Helwege J. (1999) How long do junk bonds spend in default?, Journal of Finance, 54(1), 341-357.

73 Hillebrand M. (2006) Modelling and estimating dependent loss given default, Risk, September, pp. 120-125.

74 Hotchkiss E.S., Mooradian R.M. (1997) Vulture investors and the market for control of distressed firms, Journal of Financial Economics, vol. 43, pp. 401-432.

75 Hu Y., Perraudin W. (2002) The dependence of recovery rates and defaults, RiskControl 6/1.

76 Hull J., White A. (1995) The Impact of Default Risk on the Prices of Options and Other Derivative Securities, Journal of Banking and Finance, 19, 299-322.

77 ISDA Master Agreement 2002, International Swap and Derivatives Association, Inc.

78 Izvorski, I. (1997) Recovery Ratios and Survival Times for Corporate Bonds, Working Paper of International Monetary Fund 97/84.

79 Jacobs M., Karagozoglu A. (2010) "Understanding and Predicting Ultimate Loss Given Default on Bonds and Loans", Hofstra University Working Paper.

80 Jacobs M. (2010) "A Two-Factor Structural Model of Ultimate LossGiven-Default: Capital Structure and Calibration to Corporate Recovery Data," The Journal of Financial Transformation.

81 Jacobs M. (2010) "Analyzing the Long-Term Performance of the Defaulted Debt Market: Implications for Investors and Risk Managers," The Journal of Risk and Financia1 Management.

82 Jarrow R., Lando D., Turnbull S. (1997) Markov Model for the Term Structure of Credit Risk Spreads, Review of Financial Studies, 10, 481523.

83 Jarrow R., Turnbull S. M. (1995) Pricing Derivatives on Financial Securities Subject to Credit Risk, Journal of Finance, 50, 53-86.

84 Keisman D., Marshella T., Lampert R. (2011) Lessons from 1,000 Corporate Defaults, Moody's Ultimate Recovery Database.

85 Kim I.J., Ramaswamy K., Sundaresan S. (1993) Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model, Financial Management, 22, No. 3, 117-131.

86 Litterman R., Iben T. (1991) Corporate Bond Valuation and the Term Structure of Credit Spreads, Financial Analysts Journal, 52-64.

87 Longstaff F. A., Schwartz E. (1995) Simple Approach to Valuing Risky Fixed and Floating Rate Debt, Journal of Finance, 50, 789-819.

88 Maclachlan I. (2004) Choosing the Discount Factor for Estimating Economic LGD, Working Paper, Australia and New Zealand Banking Group Ltd.

89 Madan D., Unal H. (1995) Pricing the Risks of Default, University of Maryland Working Paper.

90 Maddala G.S. (1983) Limited dependent and qualitative variables in finance, 3rd ed., Cambridge, MA: Cambridge University Press.

91 Maddala G.S. (1991) The perspective on the use of limited-dependent and qualitative variables models in accounting research, The Accounting Review, vol. 66, pp. 788-807.

92 Merton R. (1974) "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates", Journal of Finance, Vol. 29(2), 449-470.

93 Modigliani F., Miller M. (1958) The cost of capital, corporation finance and the theory of investment, The American economic review, 48(3), 261297.

94 Moral G., Oroz M. (2002) Interest rates and LGD estimates, Unpublished manuscript.

95 Nielsen L. T., Saa-Requejo J., Santa-Clara P (1993) Default Risk and Interest Rate Risk: The Term Structure of Default Spreads, INSEAD Working Paper.

96 Pykhtin M. (2003) Unexpected recovery risk, Risk, August, pp. 74-79.

97 Qi M., Zhao X. (2011) Comparison of modeling methods for Loss Given Default, Journal of Banking & Finance, 35, 2842-2855.

98 Rosch D., Scheule H. (2005) A multifactor approach for systematic default and recovery risk, Risk, September, pp. 62-75.

99 Sobehart J., Keenan S. (2004) Performance Evaluation for Credit Spread and Default Risk Models. In: Credit Risk: Models and Management, Second Edition. Risk Books: London, p. 275-305.

100 Shleifer A., Vishny R. (1992) Liquidation Values and Debt Capacity: A Market Equilibrium Approach, Journal of Finance 47(4), 1343-1366.

101 Schuermann T. (2004) What Do We Know About Loss Given Default?, Discussion paper Federal Reserve Bank of New York.

102 Thorburn K. (2000) Bankruptcy auctions: costs, debt recovery and firm survival, Journal of Financial Economics, 58, 337-368.

103 Truck S, Harpaintner A., Rachev S. (2010) A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables. Chapter of the dissertation, UniversitAat Karlsruhe.

104 Vazza D., Gunter E. (2011) Default, Transition, and Recovery: Recovery Study (U.S.): Piecing Together The Performance Of Defaulted Instruments After The Recent Credit Cycle, Standard&Poors Global Credit Portal, RatingsDirect.

105 Vazza D., Gunter E. (2011) US Recovery Study: Recent Post-Bancruptcy Recovery Levels Disapoint Senior Unsecured Bondholders, Standard&Poors Global Credit Portal, RatingsDirect.

106 Unal H., Madan D., Guntay L. (2003) Pricing the Risk of Recovery in Default with APR Violations, Journal of Banking & Finance 27 (6), 10011025.

107 VandeCastle K. (1999) Recovering your money: Insights into losses from default, Standard and Poor's RatingsDirect.

108 Varma P., Cantor R. (2004) Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers: 1983-2003, Journal of Fixed Income, 14, 29-44.

109 Vasicek O. (1984) A KMV CreditManager, Moody's KMV Credit Valuation.

110 Wagner, H.S. (1996) The Pricing of Bonds in Bankruptcy and Financial Restructuring. The Journal of Fixed Income, (June), 40-47.

111 Warren E. (2008) Chapter 11: Reorganizing American Businesses, Aspen Publishers.

112 Wilde T. (1997) CreditRisk+. A Credit Risk Management Framework, Credit Swiss First Boston.

113 Wilson T. (1997). Portfolio Credit Risk: part II, Risk Magazine, October, pp. 56-61.

114 Wilson T. (1997b). Portfolio Credit Risk: part I, Risk Magazine, September, pp. 111-117.

115 Xin G., Jarrow R., Lin H. (2009) Distressed debt prices and recovery rates estimation, Springer Science + Business Media, LLC.

<< | >>
: . . . - 2013. 2013

:

  1. 2. -
  2. 3.5. - .
  3. 10.
  4. 16.3. .
  5. .-., . .
  6. 1920-1950 .
- , -
- - - - - - -