The Expected Recovery Rate and the Probability of Default on High Yield Debt

2008 ◽  
Author(s):  
John J. Binder
Keyword(s):  
Recovery Rate ◽  
High Yield ◽  
Probability Of Default

scholarly journals Equity Option Implied Probability of Default and Equity Recovery Rate

2016 ◽  
Vol 37 (6) ◽  
pp. 599-613 ◽  
Author(s):  
Bo Young Chang ◽  
Greg Orosi
Keyword(s):  
Recovery Rate ◽  
Probability Of Default ◽  
Equity Option

Credit Ratings and Rating Agencies

2020 ◽  
Author(s):  
Miles Livingston ◽  
Lei Zhou
Keyword(s):  
Credit Rating ◽  
Corporate Bonds ◽  
The United States ◽  
Corporate Bond ◽  
Insurance Companies ◽  
High Yield ◽  
Credit Rating Agencies ◽  
Probability Of Default ◽  
Rating Agencies ◽  
Bond Issues

Credit rating agencies have developed as an information intermediary in the credit market because there are very large numbers of bonds outstanding with many different features. The Securities Industry and Financial Markets Association reports over $20 trillion of corporate bonds, mortgaged-backed securities, and asset-backed securities in the United States. The vast size of the bond markets, the number of different bond issues, and the complexity of these securities result in a massive amount of information for potential investors to evaluate. The magnitude of the information creates the need for independent companies to provide objective evaluations of the ability of bond issuers to pay their contractually binding obligations. The result is credit rating agencies (CRAs), private companies that monitor debt securities/issuers and provide information to investors about the potential default risk of individual bond issues and issuing firms. Rating agencies provide ratings for many types of debt instruments including corporate bonds, debt instruments backed by assets such as mortgages (mortgage-backed securities), short-term debt of corporations, municipal government debt, and debt issued by central governments (sovereign bonds). The three largest rating agencies are Moody’s, Standard & Poor’s, and Fitch. These agencies provide ratings that are indicators of the relative probability of default. Bonds with the highest rating of AAA have very low probabilities of default and consequently the yields on these bonds are relatively low. As the ratings decline, the probability of default increases and the bond yields increase. Ratings are important to institutional investors such as insurance companies, pension funds, and mutual funds. These large investors are often restricted to purchasing exclusively or primarily bonds in the highest rating categories. Consequently, the highest ratings are usually called investment grade. The lower ratings are usually designated as high-yield or “junk bonds.” There is a controversy about the possibility of inflated ratings. Since issuers pay rating agencies for providing ratings, there may be an incentive for the rating agencies to provide inflated ratings in exchange for fees. In the U.S. corporate bond market, at least two and often three agencies provide ratings. Multiple ratings make it difficult for one rating agency to provide inflated ratings. Rating agencies are regulated by the Securities and Exchange Commission to ensure that agencies follow reasonable procedures.

Application of Loose Blasting in Fully-Mechanized Coal Face Crossing Faults

2013 ◽  
Vol 838-841 ◽  
pp. 1880-1883 ◽  
Author(s):  
Wei Li ◽  
Ren Shu Yang
Keyword(s):  
Recovery Rate ◽  
High Yield ◽  
Coal Face ◽  
Coal Recovery ◽  
Mining Face ◽  
Coal Pillars

Loose blasting technology is applied to the problem of fully mechanized coal face passing through fault. The paper gets safe and practical loose blasting parameters and blasting process, achieves no re-open-off cut for the fully mechanized coal face, reduces loss of coal pillars for faults and improves the coal recovery rate. At last, the goal of high yield, steady yield, and increasing yield for fully mechanized mining face is realized.

PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES

2017 ◽  
Vol 20 (04) ◽  
pp. 1750023
Author(s):  
THAMAYANTHI CHELLATHURAI
Keyword(s):  
Probability Density ◽  
Conditional Probability ◽  
Recovery Rate ◽  
Expected Value ◽  
Conditional Probability Density ◽  
Probability Of Default ◽  
Risk Modeling ◽  
Conditional Probability Distribution ◽  
Macroeconomic Factors ◽  
First Order

This paper derives the theoretical underpinnings behind the following observed empirical facts in credit risk modeling: The probability of default, the seniority, the thickness of the tranche, the debt cushion, and macroeconomic factors are the important determinants of the conditional probability density function of the recovery rate given default (RGD) of a firm’s debt and its tranches. In a portfolio of debt securities, the conditional probability density functions of the recovery rate given default of tranches have point probability masses near zero and one, and the expected value of the recovery rate given default increases as the seniority or debt cushion increases. The paper derives other results as well, such as the fact that the conditional probability distribution function associated with any senior tranche dominates that of any junior tranche by first-order. The standard deviation of the recovery rate given default of a senior security need not be greater than that of a junior security. It is proved that the expected value of the recovery rate given default need not increase as the proportional thickness of the tranche increases.

Biodiesel Synthesis from Styrax Tonkinensis Catalyzed by S2O82-/ZrO2-TiO2-Fe3O4

2014 ◽  
Vol 521 ◽  
pp. 621-625 ◽  
Author(s):  
Yi Gang Wang ◽  
Xiao An Nie ◽  
Zhen Xing Liu
Keyword(s):  
Reaction Time ◽  
Reaction Temperature ◽  
Recovery Rate ◽  
Catalytic Effect ◽  
Solid Acid ◽  
Catalytic Efficiency ◽  
Molar Ratio ◽  
High Yield ◽  
Catalyst Amount ◽  
Biodiesel Synthesis

The preparation of biodiesel from Styrax Tonkinensis catalyzed by solid acid S2O82-/ZrO2-TiO2-Fe3O4 at an autoclave was studied in this paper. The magnetic catalysts were characterized by XRD, which explained the high catalytic effect. At the same time, the recovery rate and usage count of catalysts were also studied. And the results showed that a high yield of transesterification can be obtained in a closed autoclave at the condition of catalyst amount 5 %, reaction time 1.5 h, reaction temperature 373K and methanol and oil molar ratio 10:1. The results also showed that the catalysts were still with a higher catalytic efficiency when the catalysts were calcinated after the forth usage.

scholarly journals Stock-Flow Consistent Modeling of Default Events Sequence in a Closed Economy

2017 ◽  
pp. 55-65
Author(s):  
Ihor Voloshyn
Keyword(s):  
Numerical Simulation ◽  
Interest Rates ◽  
Recovery Rate ◽  
Balance Sheet ◽  
Probability Of Default ◽  
Closed Economy ◽  
Fire Sales ◽  
Consistent Model ◽  
Stock Flow ◽  
Financial Transactions

By sequentially examining the full chain of events starting from the default of firms through the fire-sale of goods towards the write-offs of bad loans, we develop a new matrix of financial transactions. This matrix is incorporated into the transactions-flows matrix of the closed economy consisting of households, firms, and banks. On the basis of the balance sheet and transactions-flows matrices, this study further constructs a stock-flow consistent model of the closed economy. We also provide the results of a numerical simulation and argue that our model allows studying how such key parameters as the probability of default, the rate of fire-sales (new injected parameter), the recovery rate, and interest rates on loans and deposits affect the performance of banks and firms, observing economic dynamics in time.

Quality films from carbon fiber evaporation for thorough coverage of TEM grids

1988 ◽  
Vol 46 ◽  
pp. 418-419
Author(s):  
N. Tempel ◽  
M. C. Ledbetter
Keyword(s):  
Electron Microscopy ◽  
High Resolution Electron Microscopy ◽  
Carbon Films ◽  
Low Noise ◽  
Vacuum Evaporation ◽  
High Yield ◽  
Good Adhesion ◽  
Noise Structure ◽  
Resolution Electron ◽  
Carbon Foils

Carbon films have been a support of choice for high resolution electron microscopy since the introduction of vacuum evaporation of carbon. The desirable qualities of carbon films and methods of producing them has been extensively reviewed. It is difficult to get a high yield of grids by many of these methods, especially if virtually all of the windows must be covered with a tightly bonded, quality film of predictable thickness. We report here a method for producing carbon foils designed to maximize these attributes: 1) coverage of virtually all grid windows, 2) freedom from holes, wrinkles or folds, 3) good adhesion between film and grid, 4) uniformity of film and low noise structure, 5) predictability of film thickness, and 6) reproducibility.Our method utilizes vacuum evaporation of carbon from a fiber onto celloidin film and grid bars, adhesion of the film complex to the grid by carbon-carbon contact, and removal of the celloidin by acetone dissolution. Materials must be of high purity, and cleanliness must be rigorously maintained.

Effects of high pressure on the crystallization of carbon fiber reinforced polyetheretherketone (CF/PEEK) laminate composites

1990 ◽  
Vol 48 (4) ◽  
pp. 876-877
Author(s):  
Hong-Ming Lin ◽  
C. H. Liu ◽  
R. F. Lee
Keyword(s):  
High Pressure ◽  
Carbon Fiber ◽  
Sample Surface ◽  
High Yield ◽  
Fiber Reinforced ◽  
Laminate Composites ◽  
Peek Composite ◽  
Continuous Carbon Fiber ◽  
Carbon Fiber Reinforced

Polyetheretherketone (PEEK) is a crystallizable thermoplastic used as composite matrix materials in application which requires high yield stress, high toughness, long term high temperature service, and resistance to solvent and radiation. There have been several reports on the crystallization behavior of neat PEEK and of CF/PEEK composite. Other reports discussed the effects of crystallization on the mechanical properties of PEEK and CF/PEEK composites. However, these reports were all concerned with the crystallization or melting processes at or close to atmospheric pressure. Thus, the effects of high pressure on the crystallization of CF/PEEK will be examined in this study.The continuous carbon fiber reinforced PEEK (CF/PEEK) laminate composite with 68 wt.% of fibers was obtained from Imperial Chemical Industry (ICI). For the high pressure experiments, HIP was used to keep these samples under 1000, 1500 or 2000 atm. Then the samples were slowly cooled from 420 °C to 60 °C in the cooling rate about 1 - 2 degree per minute to induce high pressure crystallization. After the high pressure treatment, the samples were scanned in regular DSC to study the crystallinity and the melting temperature. Following the regular polishing, etching, and gold coating of the sample surface, the scanning electron microscope (SEM) was used to image the microstructure of the crystals. Also the samples about 25mmx5mmx3mm were prepared for the 3-point bending tests.

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