Explanation:
The false statement is B. A recovery rate is not measured as credit spread divided by hazard rate. In simple default-risk models, recovery is more commonly inferred from the market price at default relative to par, or from model relationships involving spread and default intensity in a different form.
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Q-198.4. According to Fabozzi, each of the following is true about corporate bond recovery rates EXCEPT:
A
Measuring recovery rates is not a simple task
B
In one possible method, recovery rate measure = credit spread divided by hazard rate
C
In one possible method, recovery rate measure = trading price at time of default divided by the par value
D
The higher the level of seniority, in general the greater is the recovery rate
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