Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Fixed Income
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Fixed Income

The Journal of Fixed Income

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JFI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers

1983-2003

Praveen Varma and Richard Cantor
The Journal of Fixed Income Spring 2005, 14 (4) 29-44; DOI: https://doi.org/10.3905/jfi.2005.491110
Praveen Varma
A vice president in the Credit Policy Research Group of Moody's Investors Service in New York City.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: praveen.varma@moodys.com
Richard Cantor
A managing director in the Credit Policy Research Group of Moody's Investors Service.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: richard.cantor@moodys.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

The determinants of recovery rates on defaulted loans and bonds for North American corporate issuers over a period of 21 years include seniority, security, type of initial default event, and a wide variety of firm-specific, industry-specific, and macroeconomic factors. Results of univariate analysis and multivariate regressions corroborate results elsewhere on the effect of seniority, security, and macroeconomic factors. Recovery rates are also strongly affected by the type of event precipitating default, the amount of debt an issuer has outstanding that is subordinate to the defaulted security, the tangibility of issuer assets, the prevailing credit spreads at the time of default, and the market-to-book ratio of the firm and its industry prior to default. Seniority and security are the two most important influences, followed by debt cushion, leverage, and asset tangibility. Industry and macroeconomic factors are sometimes very strongly correlated with recovery rates.

  • © 2005 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Fixed Income
Vol. 14, Issue 4
Spring 2005
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers
(Your Name) has sent you a message from The Journal of Fixed Income
(Your Name) thought you would like to see the The Journal of Fixed Income web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers
Praveen Varma, Richard Cantor
The Journal of Fixed Income Mar 2005, 14 (4) 29-44; DOI: 10.3905/jfi.2005.491110

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Determinants of Recovery Rates on Defaulted Bonds and Loans for North American Corporate Issuers
Praveen Varma, Richard Cantor
The Journal of Fixed Income Mar 2005, 14 (4) 29-44; DOI: 10.3905/jfi.2005.491110
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • A Loss Severity Model for Residential Mortgages
  • Empirical Evidence on CDO Performance
  • Annual Default Rates are Probably Less Than Long-Run Average Annual Default Rates
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log in
  • Update your Profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1059-8596 | E-ISSN: 2168-8648

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies