Credit Risk In Private Debt Portfolios  

Oleh:

Carey, Mark

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 4 (Aug. 1998), page 1363-1388.
Topik: Credit Risk; Debt Portfolios; a private credit
Fulltext: p 1363.pdf (136.7KB)

Isi artikel

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. The chance of very large portfolio losses is estimated and some determinants of such losses are analyzed. Results show ex ante riskier classes of private debt perform better on average than public debt. Both diversification and the riskiness of individual portfolio assets influence the bad tail of the portfolio loss distribution. Private placements are similar to corporate loans in that both are monitored private debt. The results are thus relevant to management and securitization of private debt portfolios generally.

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