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Understanding the recovery risk of defaulted securities


Organisational Behaviour

Publication Year



Inquire UK


The authors propose to study the determinants of recovery rates in the event of default for public debt instruments. Most credit risk models make the assumption that the recovery rate on an instrument is some exogenously determined constant, matched for example to the historical average of recovery rates. This project is aimed at developing stylized facts about recovery rates, thereby aiding the refinement of these credit risk models. Theoretically, contract features, firm characteristics, industry factors and macro-economic factors could impact recovery rates. This study would be the first large-sample study to systematically study the impact of each of these factors.

Award Type

Research Grant

Project Funder



Acharya V

Available on ECCH


Start Date


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