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• W643976512 abstract "What determines the recovery of sovereign bond holders in the face of a credit event? This paper studies empirical determinants for sovereign recovery risk. Guided by theoretically backed hypotheses we use a sample of 102 past restructurings and empirically test the relation between haircut sizes and their economic drivers. We nd a signicant linkage of the haircut size to a debtor’s ability to repay as well as his willingness. Distinguishing between excusable and strategic defaulters in a new way enables us to empirically show that punishment is of markedly increased eectiveness amongst the strategic cohort. Based on these results we develop a forecasting-model for predicting haircuts conditional on the restructurings taking place within the year ahead and assess the performance of the model by applying it to a sample of the 45 restructurings observed from 1991 to present." @default.
• W643976512 created "2016-06-24" @default.
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• W643976512 date "2015-01-01" @default.
• W643976512 modified "2023-09-27" @default.
• W643976512 title "Drivers of Sovereign Recovery Risk" @default.
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• W643976512 doi "https://doi.org/10.2139/ssrn.2603104" @default.
• W643976512 hasPublicationYear "2015" @default.
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