Recovery Ratios and Survival Times for Corporate Bonds

July 1, 1997

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Format: Chicago

Ivailo Izvorski. Recovery Ratios and Survival Times for Corporate Bonds, (USA: International Monetary Fund, 1997) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset and liability management, Asset valuation, Bonds, Corporate bonds, Financial institutions, Return on investment, Stocks, Treasury bills and bonds

Keywords: Absolute priority, Asset valuation, Bond characteristic, Bond issue, Bonds, Corporate bonds, Corporate default, Coupon bond, Defaulted bond, High-yield universe, Issue amount, Recovery ratio, Stocks, Survival time, Treasury bills and bonds, WP

Publication Details

Pages:

32
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1997/084
Stock No:

WPIEA0841997
ISBN:

9781451850604
ISSN:

1018-5941

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