Explaining Aggregated Recovery Rates

This study on explaining aggregated recovery rates (ARR) is based the largest existing loss and database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents over 120 countries. The dependence of monthly ARR bank various macroeconomic factors examined sources their variability are stated. For first time, an influence stochastically estimated growth GDP USA Europe quantified. To extract signals Europe, dynamic factor models panel data different frequency information employed. Then, behavior investigated using several regression with unshifted shifted explanatory variables in time to improve forecasting power taking into account economic situation after default. An application a Markov switching model shows that distribution differs between crisis prosperity times. best fit among compared reached model. Moreover, significant observed both crises