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Understanding the Recovery Rates on Defaulted Securities. Working paper

By Viral V. Acharya, Sreedhar T. Bharath and Anand Srinivasan


assistance. The authors acknowledge the help of Edward Altman, Brooks Brady, and Standard and Poors for providing data employed in the paper and its documentation. The authors are grateful to the Institute for Quantitative Investment Research (INQUIRE), UK for its financial support for the project. Acharya is grateful to the Research and Materials Development (RMD) grant from London Business School. Understanding the Recovery Rates on Defaulted Securities We document empirically the determinants of the observed recovery rates on defaulted securities in the United States over the period 1982–1999. The recovery rates are measured using the prices of defaulted securities at the time of default and at the time of emergence from default or from bankruptcy. In addition to seniority and security of the defaulted securities, industry conditions at the time of default are found to be robust and importan

Topics: Recovery, Default, Credit risk, Distressed securities, Bankruptcy
Publisher: London Business School
Year: 2003
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