Recovery Ratios and Survival Times for Corporate Bonds

Izvorski, Ivailo

doi:10.5089/9781451850604.001

Cited by 18 publications

(14 citation statements)

References 28 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Izvorski (1997) shows that average recoveries on 281 defaulted US corporate bonds for the period 1983-1993 are 30.36% for debtors entering Chapter 11 and 36.23% for firms going through informal reorganizations.…”

Section: Prepackaged Bankruptcy Traditional Bankruptcy and Out-of-cmentioning

confidence: 99%

“…The main reason is a time lag in the effects of economic conditions on recoveries. Izvorski (1997) documents that yields on three-month Treasury bills (TB3M) are negatively related to economic growth. He also finds that the difference between the yield on an AAA corporate bond and a 10-year Treasury bond (SPREADCORP) has a positive correlation with economic conditions.…”

Section: Econometric Issues and Alternative Variable Measurementsmentioning

confidence: 99%

See 1 more Smart Citation

The determinants of bank loan recovery rates

Khieu

Mullineaux

2012

Journal of Banking & Finance

View full text Add to dashboard Cite

Section: Prepackaged Bankruptcy Traditional Bankruptcy and Out-of-cmentioning

confidence: 99%

Section: Econometric Issues and Alternative Variable Measurementsmentioning

confidence: 99%

The determinants of bank loan recovery rates

Khieu

Mullineaux

2012

Journal of Banking & Finance

View full text Add to dashboard Cite

“…Nickell, Perraudin, and Varotto [1998] demonstrate that the probability of default or debt downgrade is usually higher during troughs of the business cycle and that this phenomenon is more evident for lower-rated bonds. Finally, Izvorski [1997] shows that risk-free rates, term structure, credit spreads, and the stage of the business cycle all play a significant role in the determination of recovery ratios and survival times of corporate bonds.…”

Section: Credit Risk and The Business Cyclementioning

confidence: 99%

Credit Risk, Interest Rate Risk, and the Business Cycle

Alessandrini

1999

JFI

View full text Add to dashboard Cite

“…Not surprisingly, recoveries fell and the seemingly well-established industry-level distribution did not prove to be predictive. 13 See Altman and Kishmore (1996) and Izvorski (1997) for broad recovery findings by industry and Borenstein and Rose (1995) for a single industry (airlines) case study.…”

Section: Industrymentioning

confidence: 99%

Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened

Gupton¹

2005

Economic Notes

View full text Add to dashboard Cite

We describe LossCalc TM version 2.0: the Moody's KMV model to predict loss given default (LGD), the equivalent of (1 À recovery rate). LossCalc is a statistical model that applies multiple predictive factors at different information levels: collateral, instrument, firm, industry, country and the macroeconomy to predict LGD. We find that distance-to-default measures (from the Moody's KMV structural model of default likelihood) compiled at both the industry and firm levels are predictive of LGD. We find that recovery rates worldwide are predictable within a common statistical framework, which suggests that the estimation of economic firm value (which is then available to allocate to claimants according to each country's bankruptcy laws) is a dominant step in LGD determination. LossCalc is built on a global dataset of 3,026 recovery observations for loans, bonds and preferred stock from 1981 to 2004. This dataset includes 1,424 defaults of both public and private firms -both rated and unrated instruments -in all industries. We demonstrate out-of-sample and out-of-time LGD model validation. The model significantly improves on the use of historical recovery averages to predict LGD.(J.E.L.: C33, C52, G33).

show abstract

Recovery Ratios and Survival Times for Corporate Bonds

Cited by 18 publications

References 28 publications

The determinants of bank loan recovery rates

The determinants of bank loan recovery rates

Credit Risk, Interest Rate Risk, and the Business Cycle

Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened

Contact Info

Product

Resources

About