RECOVERY RATINGS IN THE EVENT OF SOVEREIGN DEFAULT ISSUERS. AN INVESTIGATION ON THE FACTORS WHICH INFLUENCE THEIR CALCULATION BY STANDARD & POOR’S
Emilian Miricescu ()
Theoretical and Applied Economics, 2008, vol. 11(528)(supplement), issue 11(528)(supplement), 93-99
Recent events have shown that sovereign bonds issuers can be in default. In this situation, the amounts of money are very high and there are few measures that can be taken into account against them. For this reason, the participants on the international financial market have asked the rating agencies to estimate a probability which indicate the debts recovery. This paper focuses on recovery ratings assigned by Standard & Poor’s and Fitch to the sovereign speculative issuers. We will use the discriminant analysis to decide whether six quantitative factors are significantly influencing the recovery rating.
Keywords: recovery rating; bonds; financial market; informational asymmetry; discriminant analysis. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:11(528)(supplement):y:2008:i:11(528)(supplement):p:93-99
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