Front Matter Page
Research Department
Contents
I. Introduction
II. Haircuts
A. Haircut Measures
B. Data
III. New Stylized Facts
A. Haircuts
B. Bond Prices
IV. The Model
A. Setup
B. First Result
C. Second Result
D. Interpretation
V. Default Probability Term Structure
VI. Conclusion
References
Figures
1. SZ Recovery and Maturity
2. Exchange Recovery and Maturity
3. Bond Price Differentials
4. Default Probability Term Structure
Tables
1. Scope of Dataset
2. Cross-sectional Regression Results
3. Panel Regression Results
4. Panel Regression Results
Appendices
I. Dataset: Selected Recent Restructurings
II. Haircuts / Recovery Rates
III. SZ Haircuts Robustness Check
IV. Bond Prices
V. Estimation of Term Structure of Default Risk
VI. Default Probability Term Structure