Estimating Recovery Rates of Russian Corporate Bonds

  • Екатерина Няимовна Антонова НИУ ВШЭ
DOI: https://doi.org/10.17323/j.jcfr.2073-0438.6.4.2012.130-143
Keywords: recovery rate, default, loss given default, corporate bonds

Abstract

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

Together with probability of default and exposure at default, recovery rate is a key parameter in estimation of expected losses in case of default of a corporate bond. It is equal to proportion of investment that investor recovers in case of default. However, methods for estimating recovery rates are less developed compared to methods of estimation of probability of default. This paper aims to create a model for estimating recovery rates of Russian corporate bonds.

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Published
2013-02-14
How to Cite
АнтоноваЕ. Н. (2013) “Estimating Recovery Rates of Russian Corporate Bonds”, Journal of Corporate Finance Research | ISSN: 2073-0438, 6(4), pp. 130-143. doi: 10.17323/j.jcfr.2073-0438.6.4.2012.130-143.
Issue
Vol 6 No 4 (2012)
Section
New Research