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Default Recovery Rates Of Corporate Bond Issuers
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Book Synopsis Default and Recovery Rates of Corporate Bond Issuers by : David T. Hamilton
Download or read book Default and Recovery Rates of Corporate Bond Issuers written by David T. Hamilton and published by . This book was released on 2001 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate bond defaults surged in 2000, and are forecast to continue through 2001. This report documents the 2000 default experience, explores its underlying causes, and discusses Moody's forecast for defaults for 2001. Briefly, Moody's finds that:- Worldwide, 110 Moody's-rated issuers defaulted on USD33.4 billion of long-term, publicly held corporate and sovereign debt in 2000. Including non-rated defaulters, 167 issuers defaulted on USD49.1 billion.- The US continues to be the largest single source of defaults, contributing 125 defaults on $29.1 billion of publicly held long-term corporate bonds in 2000.- Defaults in the telecommunications sector totaled USD6.48 billion, making it the top defaulting industrial sector by dollar volume. The Construction, Building amp; Real Estate, and Automobile sectors also experienced a disproportionately high volume of defaults in 2000.- Moody's issuer-weighted trailing 12-month spec-grade default rate ended 2000 at 5.71% (revised), up from 5.69%. On a dollar-weighted basis, the spec-grade default rate finished 2000 at 6.21%.- The 2000 all-corporate trailing 12-month default rate finished the year at 2.28%. Four issuers held investment grade ratings within one year of default, the highest number since 1989.- Average recovery rates fell again for almost all seniority/security classes in 2000. Overall, recovery rates for corporate bonds averaged 28.8% of par, down from 39.7% last year, and below their post-1970 average of 42%.- Moody's forecasts the speculative grade default rate to rise to 9.5% by the end of 2001, as negative credit trends persist and as an economic slowdown in the US could now meaningfully affect corporate failures.
Book Synopsis Default and Recovery Rates of Corporate Bond Issuers by :
Download or read book Default and Recovery Rates of Corporate Bond Issuers written by and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Default & Recovery Rates of Corporate Bond Issuers by : David T. Hamilton
Download or read book Default & Recovery Rates of Corporate Bond Issuers written by David T. Hamilton and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Default & Recovery Rates of Corporate Bond Issuers by : Moody's Investors Service
Download or read book Default & Recovery Rates of Corporate Bond Issuers written by Moody's Investors Service and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recovery Ratios and Survival Times for Corporate Bonds by : Ivailo Izvorski
Download or read book Recovery Ratios and Survival Times for Corporate Bonds written by Ivailo Izvorski and published by International Monetary Fund. This book was released on 1997-07-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Default & Recovery Rates of Corporate Bond Issuers by : David T. Hamilton
Download or read book Default & Recovery Rates of Corporate Bond Issuers written by David T. Hamilton and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Link between Default and Recovery Rates by : Edward I. Altman
Download or read book The Link between Default and Recovery Rates written by Edward I. Altman and published by . This book was released on 2008 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models explain a significant portion of the variance in bond recovery rates aggregated across all seniority and collateral levels. The central thesis is that aggregate recovery rates are basically a function of supply and demand for the securities, with default rates playing a pivotal role. Such a link would bring about a significant increase in both expected and unexpected losses as measured by some widespread credit risk models, and would affect the procyclicality effects of the New Basel Capital Accord. Our results have also important implications for investors in corporate bonds and bank loans, and for all markets (e.g., securitizations, credit derivatives, etc.) which depend on recovery rates as a key variable.
Book Synopsis The Link between Default and Recovery Rates by : Edward I. Altman
Download or read book The Link between Default and Recovery Rates written by Edward I. Altman and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the association between aggregate default and recovery rates on credit assets, and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults, over the period 1982-2002. Our econometric univariate and multivariate models explain a significant portion of the variance in bond recovery rates aggregated across all seniority and collateral levels. The central thesis is that aggregate recovery rates are basically a function of supply and demand for the securities, with default rates playing a pivotal role. Such a link would bring about a significant increase in both expected and unexpected losses as measured by some widespread credit risk models, and would affect the procyclicality effects of the New Basel Capital Accord. Our results have also important implications for investors in corporate bonds and bank loans, and for all markets (e.g., securitizations, credit derivatives) that depend on recovery rates as a key variable.
Book Synopsis Explaining Aggregate Recovery Rates on Corporate Bond Defaults by : Edward I. Altman
Download or read book Explaining Aggregate Recovery Rates on Corporate Bond Defaults written by Edward I. Altman and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction by : Stewart Jones
Download or read book Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction written by Stewart Jones and published by Cambridge University Press. This book was released on 2008-09-25 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A thorough compendium of credit risk modelling approaches, including several new techniques that extend the horizons of future research and practice. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. An ideal resource for academics, practitioners and regulators.
Book Synopsis Recovery Rates in Credit Default Models Theory and Application to Corporate Bonds by : Dirk Herkommer
Download or read book Recovery Rates in Credit Default Models Theory and Application to Corporate Bonds written by Dirk Herkommer and published by . This book was released on 2008 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I derive a reduced form credit risk model with stochastic recovery rates that is able to distinguish between default and bankruptcy and that is able to price defaulted debt consistently. First, I develop a general corporate bond pricing formula with the help of Characteristic Functions. Second, I specify the driving state variables as well as the functional form of intensities and recovery rates to derive a closed form valuation formula. In a numerical example I show how the resulting credit spreads depend on the default and bankruptcy parameters and the assumption of stochastic intensities and recovery rates. Credit spreads increase with higher default and bankruptcy intensities and decrease with higher recovery rates at default and at bankruptcy. If intensities and recovery rates are constant, the resulting term structure differs significantly. Additionally modeling the recovery rates stochastically has smaller effects.
Book Synopsis Investing in Corporate Bonds and Credit Risk by : F. Hagenstein
Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.
Book Synopsis Historical Default Rates of Corporate Bond Issuers, 1920-1997 by :
Download or read book Historical Default Rates of Corporate Bond Issuers, 1920-1997 written by and published by . This book was released on 1998 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Historical Default Rates of Corporate Bond Issuers, 1920-1996 by :
Download or read book Historical Default Rates of Corporate Bond Issuers, 1920-1996 written by and published by . This book was released on 1997 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers by : Richard Cantor
Download or read book Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers written by Richard Cantor and published by . This book was released on 2007 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the determinants of recovery rates on defaulted loans and bonds for North American corporate issuers over a period of 21 years (1983-2003). The variables it examines include seniority, security, type of initial default event, and a wide variety of firm-specific, industry-specific, and macroeconomic factors. The report estimates their influence on recovery rates both through univariate analysis, presented in a tabular form, and through multivariate regressions. Not only do our findings corroborate results on seniority, security, and macroeconomic factors found elsewhere in the literature, but we also find that recovery rates are strongly affected by 1) the type of event precipitating default, 2) the amount of debt an issuer has outstanding that is subordinate to the defaulted security, 3) the tangibility of its assets, 4) the prevailing credit spreads at the time of default, and 5) the market-to-book ratio of the firm and its industry prior to default. The results of this study show that seniority and security are the two most important factors that impact recovery rates, followed by debt-cushion, leverage and asset tangibility. Industry and macroeconomic factors are also found to be correlated with recovery rates, sometimes very strongly.
Book Synopsis Recovery and Default Risk by : Stephen Lawrence Powell Phipps
Download or read book Recovery and Default Risk written by Stephen Lawrence Powell Phipps and published by . This book was released on 2001 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Recovery Risk written by Edward I. Altman and published by Bloomberg Press. This book was released on 2005-01-01 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
