The Overview of Models Estimating Recovery Rates of Corporate Bonds

  • Екатерина Няимовна Антонова НИУ ВШЭ
DOI: https://doi.org/10.17323/j.jcfr.2073-0438.5.1.2011.103-122
Keywords: recovery rate, default, loss given default, corporate bonds

Abstract

Author: Ekaterina Antonova - National Research University The Higher School of Economics

More accurate calculation of capital adequacy of bank is one of the requirements of the Basel Committee on Banking Supervision as recommended in Basel II. This aim is supported by means of a more accurate calculation of recovery rate of corporate bonds, which is equal to (1-LGD), where LGD is loss given default. This article offers an overview of factors which explain the recovery rate on corporate bonds as well as models which estimate recovery rates based on these factors.

Downloads

Published
2011-05-31
How to Cite
АнтоноваЕ. Н. (2011) “The Overview of Models Estimating Recovery Rates of Corporate Bonds”, Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438, 5(1), pp. 103-122. doi: 10.17323/j.jcfr.2073-0438.5.1.2011.103-122.
Issue
Vol 5 No 1 (2011)
Section
Reviews