An empirical analysis of alternative recovery risk models and implied recovery rates

作者：Zhang Frank Xiaoling^*

来源：Review of Derivatives Research, 2010, 13(2): 101-124.

DOI：10.1007/s11147-009-9046-1

• Recovery
• Default risk
• Defaultable bonds
• Corporate bond pricing
• Recovery payout as a fraction of face
• Recovery as a fraction of pre-default debt values
• Recovery as a fraction of the present value of face
• Implied recovery

This article studies the role of recovery on defaultable debt prices in alternative recovery risk models. The empirical results suggest two central findings. First, the recovery concept that specifies recovery as a fraction of the discounted par value has broader empirical support. Second, parametric debt valuation models can provide a useful assessment of recovery rates embedded in bond prices.

• 出版日期2010-7