Franklin

Recovery Ratios and Survival Times for Corporate Bonds [electronic resource] Izvorski, Ivailo.

Author/Creator:
Izvorski, Ivailo.
Publication:
Washington, D.C. : International Monetary Fund, 1997.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 97/84.
IMF Working Papers; Working Paper No. 97/84
Format/Description:
Government document
Book
1 online resource (32 p.)
Local subjects:
Bond. (search)
Bond defaults. (search)
Bond funds. (search)
Bond issue. (search)
Bond issues. (search)
Bond market. (search)
Bond yield. (search)
Bondholders. (search)
Bonds. (search)
Cash flows. (search)
Computation. (search)
Computations. (search)
Corporate bond. (search)
Corporate bonds. (search)
Correlation. (search)
Coupon bond. (search)
Coupon bonds. (search)
Discriminant analysis. (search)
Dummy variable. (search)
Financial economics. (search)
Goodness of fit. (search)
Hedging. (search)
High yield bonds. (search)
High-yield bond. (search)
High-yield bonds. (search)
Individual bond. (search)
Individual bonds. (search)
Logarithm. (search)
Prediction. (search)
Predictions. (search)
Present value. (search)
Probability. (search)
Sample size. (search)
Scatter plot. (search)
Senior bondholders. (search)
Senior bonds. (search)
Standard deviation. (search)
Statistic. (search)
Statistics. (search)
Stock price. (search)
Stockholders. (search)
T-bond. (search)
Time series. (search)
Treasury bond. (search)
Treasury bonds. (search)
Valuation of assets. (search)
Zero coupon bonds. (search)
United States. (search)
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.
Notes:
Description based on print version record.
Contributor:
Izvorski, Ivailo.
Other format:
Print Version:
ISBN:
1451850603:
9781451850604
ISSN:
1018-5941
Publisher Number:
10.5089/9781451850604.001
Access Restriction:
Restricted for use by site license.
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