the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search

Submit Your Paper

In Rememberance: World Trade Center (WTC)

Export citation to:
- Text (plain)
- BibTeX

Khieu, Hinh D., Donald J. Mullineaux, Ha-Chin Yi, "The Determinants of Bank Loan Recovery Rates", Journal of Banking & Finance, Vol. 36, No. 4, (April 2012), pp. 923-933.

Abstract: 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.

JEL Classification: G21, G28.

Keywords: Recovery rates, Ultimate recoveries, Loss given default, Credit risk.

Books Referenced in this paper:  (what is this?)

Download paper (493K PDF) 56 pages

Related reading: "Bank Loan Loss Given Default",
"Bank Loan Losses-Given-Default: A case study"