Recovery Ratios and Survival Times for Corporate Bonds
Title | Recovery Ratios and Survival Times for Corporate Bonds PDF eBook |
Author | Ivailo Izvorski |
Publisher | International Monetary Fund |
Pages | 33 |
Release | 1997-07-01 |
Genre | Business & Economics |
ISBN | 1451850603 |
This paper analyzes the determinants of the recovery ratios and survival times (time until default) for U. S. corporate bonds. We show that seniority, the type of industry in which the firm operates, and the type of restructuring attempted after default are the major determinants of the cross-sectional distribution of individual bond recovery ratios. On an industry level, physical asset obsolescence, industry growth, and industry concentration are the most important factors. We also analyze survival times for corporate bonds and find that initial time to maturity and the general economic conditions at maturity and default explain a large fraction of the cross-sectional variation of survival times.
Recovery Ratios and Survival Times for Corporate Bonds
Title | Recovery Ratios and Survival Times for Corporate Bonds PDF eBook |
Author | Ivailo Izvorski |
Publisher | |
Pages | 32 |
Release | 2006 |
Genre | |
ISBN |
This paper analyzes the determinants of the recovery ratios and survival times (time until default) for U. S. corporate bonds. We show that seniority, the type of industry in which the firm operates, and the type of restructuring attempted after default are the major determinants of the cross-sectional distribution of individual bond recovery ratios. On an industry level, physical asset obsolescence, industry growth, and industry concentration are the most important factors. We also analyze survival times for corporate bonds and find that initial time to maturity and the general economic conditions at maturity and default explain a large fraction of the cross-sectional variation of survival times.
Recovery rations and survival times for corporate bonds
Title | Recovery rations and survival times for corporate bonds PDF eBook |
Author | Ivailo Izvorski |
Publisher | |
Pages | 32 |
Release | 1997 |
Genre | |
ISBN |
An Empirical Analysis of Bond Recovery Rates
Title | An Empirical Analysis of Bond Recovery Rates PDF eBook |
Author | Daniel M. Covitz |
Publisher | |
Pages | 74 |
Release | 2005 |
Genre | Bonds |
ISBN |
"A frictionless, structural view of default has the unrealistic implication that recovery rates on bonds, measured at default, should be close to 100 percent. This suggests that standard "frictions" such as default delays, corporate-valuation jumps, and bankruptcy costs may be important drivers of recovery rates. A structural view also suggests the existence of nonlinearities in the empirical relationship between recovery rates and their determinants. We explore these implications empirically and find direct evidence of jumps, and also evidence of the predicted nonlinearities. In particular, recovery rates increase as economic conditions improve from low levels, but decrease as economic conditions become robust. This suggests that improving economic conditions tend to boost firm values, but firms may tend to default during particularly robust times only when they have experienced large, negative shocks"--Abstract.
IMF Survey
Title | IMF Survey PDF eBook |
Author | International Monetary Fund. External Relations Dept. |
Publisher | International Monetary Fund |
Pages | 458 |
Release | 1997-01-01 |
Genre | Business & Economics |
ISBN | 1451937504 |
The Web edition of the IMF Survey is updated several times a week, and contains a wealth of articles about topical policy and economic issues in the news. Access the latest IMF research, read interviews, and listen to podcasts given by top IMF economists on important issues in the global economy. www.imf.org/external/pubs/ft/survey/so/home.aspx
Recovery and Default Risk
Title | Recovery and Default Risk PDF eBook |
Author | Stephen Lawrence Powell Phipps |
Publisher | |
Pages | 292 |
Release | 2001 |
Genre | |
ISBN |
Bond and Money Markets
Title | Bond and Money Markets PDF eBook |
Author | Moorad Choudhry |
Publisher | Butterworth-Heinemann |
Pages | 1152 |
Release | 2003-07-04 |
Genre | Business & Economics |
ISBN | 0080574939 |
The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics