The determinants of bank loan recovery rates

被引：53

作者：

Khieu, Hinh D. ^{[1
]}

Mullineaux, Donald J. ^{[2
]}

Yi, Ha-Chin ^{[3
]}

机构：

[1] Univ So Indiana, Coll Business, Evansville, IN 47725 USA

[2] Univ Kentucky, Gatton Coll Business, Lexington, KY 40506 USA

[3] Texas State Univ San Marcos, McCoy Coll Business Adm, San Marcos, TX 78666 USA

来源：

JOURNAL OF BANKING & FINANCE | 2012年 / 36卷 / 04期

关键词：

Recovery rates; Ultimate recoveries; Loss given default; Credit risk; EMPIRICAL-EVIDENCE; DEFAULT; BANKRUPTCY; FIRMS; MODEL; RISK;

D O I：

10.1016/j.jbankfin.2011.10.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using Moody's Ultimate Recovery Database, we estimate a model for bank loan recoveries using variables reflecting loan and borrower characteristics, industry and macroeconomic conditions, and several recovery process variables. We find that loan characteristics are more significant determinants of recovery rates than are borrower characteristics prior to default. Industry and macroeconomic conditions are relevant, as are prepackaged bankruptcy arrangements. We examine whether a commonly used proxy for recovery rates, the 30-day post-default trading price of the loan, represents an efficient estimate of actual recoveries and find that such a proxy is biased and inefficient. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：923 / 933

页数：11

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