Understanding the recovery risk of defaulted securities

Organisational Behaviour

2002

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.

Research Grant

INQUIRE

http://www.inquire.org.uk/

Acharya V

No

11/01/2002