The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
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. 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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Citations
Cites
Financial intermediation and delegated monitoring
Diamond, D. W. (1984) · The Review of Economic Studies · doi:10.2307/2297430 · Cited by 8,476
Debt covenants and renegotiation
Berlin, M., & Mester, L. J. (1992) · Journal of Financial Intermediation · doi:10.1016/1042-9573(92)90005-x · Cited by 393
Cited by
Don't Put All Your Eggs in One Basket? Diversification and Specialization in Lending
Winton, A. (1999) · SSRN Electronic Journal · doi:10.2139/ssrn.173615 · Cited by 287
Metadata
- Authors
- Carey, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1998-08
- Volume
- 53
- Issue
- 4
- Pages
- 1363-1387
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2115784691
- Cited by
- 245
- References
- 2
- FWCI
- 18.48
- Type
- journal article
- Language
- en
- Open access
- closed
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- Carey, M. (1998). Credit Risk in Private Debt Portfolios. The Journal of Finance. https://doi.org/10.1111/0022-1082.00056
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
