Recovery Ratios and Survival Times for Corporate Bonds
IMF Working Papers, July 1, 1997
Source details
- Canonical URL
- Recovery Ratios and Survival Times for Corporate Bonds
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Bibliographic details
- Authors: Ivailo Izvorski
- Published: July 1, 1997
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451850604.001
Summary findings
- The paper analyzes the determinants of the recovery ratios and survival times (time until default) for U. S. corporate bonds.
- Major determinants of the cross-sectional distribution of individual bond recovery ratios are: seniority, the type of industry in which the firm operates, and the type of restructuring attempted after default.
- On an industry level, the most important factors are: physical asset obsolescence, industry growth, and industry concentration.
- Survival times for corporate bonds are largely explained by: initial time to maturity and the general economic conditions at maturity and default.
Determinants of recovery ratios (individual bond level)
- Seniority
- Type of industry in which the firm operates
- Type of restructuring attempted after default
Determinants of recovery ratios (industry level)
- Physical asset obsolescence
- Industry growth
- Industry concentration
Determinants of survival times
- Initial time to maturity
- General economic conditions at maturity and default
Content in this bundle
- Recovery Ratios and Survival Times for Corporate Bonds - WP/97/84