债务违约损失率研究综述
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外国经济与管理 2005 年 第 27 卷第 08 期, 页码：55 - 64
摘要
参考文献
摘要
本文介绍了违约损失率的概念,对国内外违约损失率的研究现状进行了梳理,重点探讨了违约损失率的影响因素、量化方法、数据库建设情况,以及穆迪、标准普尔和惠誉三大全球性评级机构的违约损失率研究现状,最后提出了我国开展违约损失率研究的建议。
①巴塞尔新资本协议提出了两种计算银行的监管资本金风险权重方法,它们分别是基于外部评级的标准法和基于银行内部信用评级的IRB法。而IRB法又可分为初级法和高级法,两者的主要区别在于前者的LGD、EAD和M由监管机构确定,而后者则允许银行采用内部评级系统的估计值。可参见巴塞尔银行监管委员会2001年发布的,中国人民银行银行监管
一司编译的内部资料《巴塞尔新资本协议》。
②新资本协议对采用IRB的银行提出了包括信息披露、监管当局对实施情况的监督检查等在内的很多复杂而具体的要求,相关内容参见、本文注释①和参考文献[2]。
⑧巴塞尔新资本协议规定,商业银行在采用IRB法计算风险资本时,如果PD与LGD之间相互独立,那么估算得到的预期损失率(expect loss rate)应该等于PD与LGD的乘积。参见本文注释①。
⑨Til Schuermann(2004)在文献中对几种LGD方法采用了不同的称谓。根据复杂程度的高低,他将LGD分析技术划分为查表法(look-up table,与文中的历史数据平均值法类似)、基本回归法、高级回归法以及神经网络法、决策树模型和机械学习法等,这些方法随着复杂程度的提高,对数据的拟合性不断提高,但由于对数据要求提高,同时要求使用者掌握较复杂的模型知识和数据挖掘技术,因此其使用范围还比较有限。具体参见本文参考文献[1]。
⑩Til Schuermann(2004)的研究显示,RR具有典型的双峰特性(bimodal)。根据统计结果,他发现LGD在分布图中驼峰形状的两个峰值,相对较高的峰值显示的LGD大约为70%~80%,而较低的LGD大约20%~30%,具体参见本文参考文献[1]。
[1]Schuermann,T.What do we know about loss given default?[R].Federal Reserve Bank of New York,Working Paper2004:1-29.
[2]陈忠阳.违约损失率(LGD)研究[J].国际金融研究,2004,(5):49-57.
[3]刘宏峰,杨晓光.违约损失率的估计:发达国家的经验及启示[J].金融研究,2003,15,(6):23-27.
[4]Amihud,Yakov,Kenneth Garbade and Marcel Kahan.Aninstitutional innovation to reduce agency costs of public corporate bonds[J].Journal of Applied Corporate Finance,2000,(1):114-121.
[5]Greg M Gupton,Daniel Gates and Lea V Carty.Bank-loanloss given default[R].Moody's Investors Service,Global CrediResearch,November,2000:1-24.
[6]Thorburn,K.Bankruptcy auctions:cost,debt recovery andfirmsurvival[J].Journal of Financial Economics,2000,58:337-368.
[7]Frye,J.Collateral damage detected[R].Federal Reserve Bank of Chicago,Working Paper,Emerging Issues Series,October,2000:1-14.
[8]Carey,Mark.Credit riskin private debt portifolios[J].Journal of Finance,1998,53,(4):1363-1387.
[9]Alt man,E and V Kishore.Al most everything you wanted to knowabout recovery on defaulted bonds[J].Financial Ana-lysts Journal,1996,(6):57-64.
[10]Grossman,R,S O Shea,and S.Bonelii.Bankloan and bond recovery study:1997-2000[R].Fitch Loan Products SpecialReport,March,2001:1-23.
[11]Acharya,Viral V,Sreedhar T Bharath and Anand Srinivasan.Understandingthe recovery rates of defaulted securities[R].Working Paper,2003:1.
[12]Asarnow,Elliot and David Edwards.Measuring loss on defaulted bank loans:a 24year study[J].Journal of CommercialLending.1995,77(7):11-23.
[13]Carty,L and D Lieberman.Defaulted bankloan recoveries[R].Moody's Special Comment,1996:1-12.
[14]Eales,Rand Bosworth.Severity of lossin the event of default in small business andlarger consumer loans[J].Journal ofLending &Credit Risk Management,1998,27(4):58-65.
[15]Hurt L and Felsovalyi A.Measuringloss onlatin american defaulted bankloans,a 27year Study of 27 Countries[J].TheJournal of Leading and Credit Risk Management,1998,81(11):41-46.
[16]Frye,J.Collateral damage detected[R].Federal Reserve Bank of Chicago,Working Paper,Emerging Issues Series,No-verber,2000:1-14.
[17]Alt man,E,B Brady,A Resti and ASironi.The link between default and recovery rates:i mplications for credit risk mod-els and procyclicality[R].NYUStern School Salomon Center Working Paper.2002:1-46.
[18]La Porta,Lopez-de-Silanes and Zamarripa.Relatedlending[J].The Quarterly Journal of Economics,2003,(1):231-268.
[19]David T Hamilton and Lea V Carty.Debt recoveries for corporate bankruptcies[R].Moody' s Investors Service,GlobalCredit Research,June,1999:1-16.
[20]Keenan,Sean C,Carty,Lev V,Shtogrin,Igor,and Fons,Jerome S.Preferred stock ratings and credit risk[R].A Moody'sSpecial Report,1998:1-20.
[21]Greg MGupton,Roger MStein.Loss caleTM:Moody's model for predictingloss given default[R].A Moody's Special Re-port,2002:1-32.
[22]Lea V Carty.Bankrupt bankloan recoveries[R].Moody's Investors Service,Global Credit Research,1998:1-16.
[23]Keenan,Sean C,Shtogrin,Igor,and Sorbehart,Jorge.Historical default rates of corporate bondissuers,1920-1997[R].A Moody's Special Report,February,1998:1-61.
[24]Praveen Varma.Recovery rates on defaulted corporate bonds and preferred stocks,1982-2003[R].A Moody' s SpecialReport,December,2003:1-19.
[25]Praveen Varma.Default and recovery rates of asia-pacific corporate bondissuers,1990-2003[R].A Moody's Special Re-port,August,2004:1-20.
[26]Praveen Varma.Default and recovery rates of european corporate bond issuers:1985-2004[R].A Moody' s Special Re-port,February,2005:1-19.
[27]Van de Castle,K,D Keisman and R Yang.Suddenly structure mattered:insights into recoveries of default debt[R].Standard &Poor's,May,2000:1-47.
[28]Standard &Poors.Global cash flowand synthetic CDOcriteria[R].A Special Report,March,2002:62-69.
[29]Brennan,W,D McGirt,J Roche and M Verde . Bank loan ratings[A].In Bank loans:secondary market and portfoliomanagement[C].Frank HFabozzi Associates,New Hope,PA,1998:57-69.
[30]Mariarosa Verde.High yield defaults:spectacular records in 2001,recovery projected for 2002[J].Credit Market Re-search,February,2002:1-9.
[31]John Feeney.Recovery rate in german CDOs:extreme tendencies[R].Germany/Credit Products Special Report,Octo-ber,2003:1-5.
[32]FitchRatings.The role of recovery analysis in ratings-enhancinginformational content and transparency[J].Credit Mar-ket Research,February,2005:1-9.
一司编译的内部资料《巴塞尔新资本协议》。
②新资本协议对采用IRB的银行提出了包括信息披露、监管当局对实施情况的监督检查等在内的很多复杂而具体的要求,相关内容参见、本文注释①和参考文献[2]。
⑧巴塞尔新资本协议规定,商业银行在采用IRB法计算风险资本时,如果PD与LGD之间相互独立,那么估算得到的预期损失率(expect loss rate)应该等于PD与LGD的乘积。参见本文注释①。
⑨Til Schuermann(2004)在文献中对几种LGD方法采用了不同的称谓。根据复杂程度的高低,他将LGD分析技术划分为查表法(look-up table,与文中的历史数据平均值法类似)、基本回归法、高级回归法以及神经网络法、决策树模型和机械学习法等,这些方法随着复杂程度的提高,对数据的拟合性不断提高,但由于对数据要求提高,同时要求使用者掌握较复杂的模型知识和数据挖掘技术,因此其使用范围还比较有限。具体参见本文参考文献[1]。
⑩Til Schuermann(2004)的研究显示,RR具有典型的双峰特性(bimodal)。根据统计结果,他发现LGD在分布图中驼峰形状的两个峰值,相对较高的峰值显示的LGD大约为70%~80%,而较低的LGD大约20%~30%,具体参见本文参考文献[1]。
[1]Schuermann,T.What do we know about loss given default?[R].Federal Reserve Bank of New York,Working Paper2004:1-29.
[2]陈忠阳.违约损失率(LGD)研究[J].国际金融研究,2004,(5):49-57.
[3]刘宏峰,杨晓光.违约损失率的估计:发达国家的经验及启示[J].金融研究,2003,15,(6):23-27.
[4]Amihud,Yakov,Kenneth Garbade and Marcel Kahan.Aninstitutional innovation to reduce agency costs of public corporate bonds[J].Journal of Applied Corporate Finance,2000,(1):114-121.
[5]Greg M Gupton,Daniel Gates and Lea V Carty.Bank-loanloss given default[R].Moody's Investors Service,Global CrediResearch,November,2000:1-24.
[6]Thorburn,K.Bankruptcy auctions:cost,debt recovery andfirmsurvival[J].Journal of Financial Economics,2000,58:337-368.
[7]Frye,J.Collateral damage detected[R].Federal Reserve Bank of Chicago,Working Paper,Emerging Issues Series,October,2000:1-14.
[8]Carey,Mark.Credit riskin private debt portifolios[J].Journal of Finance,1998,53,(4):1363-1387.
[9]Alt man,E and V Kishore.Al most everything you wanted to knowabout recovery on defaulted bonds[J].Financial Ana-lysts Journal,1996,(6):57-64.
[10]Grossman,R,S O Shea,and S.Bonelii.Bankloan and bond recovery study:1997-2000[R].Fitch Loan Products SpecialReport,March,2001:1-23.
[11]Acharya,Viral V,Sreedhar T Bharath and Anand Srinivasan.Understandingthe recovery rates of defaulted securities[R].Working Paper,2003:1.
[12]Asarnow,Elliot and David Edwards.Measuring loss on defaulted bank loans:a 24year study[J].Journal of CommercialLending.1995,77(7):11-23.
[13]Carty,L and D Lieberman.Defaulted bankloan recoveries[R].Moody's Special Comment,1996:1-12.
[14]Eales,Rand Bosworth.Severity of lossin the event of default in small business andlarger consumer loans[J].Journal ofLending &Credit Risk Management,1998,27(4):58-65.
[15]Hurt L and Felsovalyi A.Measuringloss onlatin american defaulted bankloans,a 27year Study of 27 Countries[J].TheJournal of Leading and Credit Risk Management,1998,81(11):41-46.
[16]Frye,J.Collateral damage detected[R].Federal Reserve Bank of Chicago,Working Paper,Emerging Issues Series,No-verber,2000:1-14.
[17]Alt man,E,B Brady,A Resti and ASironi.The link between default and recovery rates:i mplications for credit risk mod-els and procyclicality[R].NYUStern School Salomon Center Working Paper.2002:1-46.
[18]La Porta,Lopez-de-Silanes and Zamarripa.Relatedlending[J].The Quarterly Journal of Economics,2003,(1):231-268.
[19]David T Hamilton and Lea V Carty.Debt recoveries for corporate bankruptcies[R].Moody' s Investors Service,GlobalCredit Research,June,1999:1-16.
[20]Keenan,Sean C,Carty,Lev V,Shtogrin,Igor,and Fons,Jerome S.Preferred stock ratings and credit risk[R].A Moody'sSpecial Report,1998:1-20.
[21]Greg MGupton,Roger MStein.Loss caleTM:Moody's model for predictingloss given default[R].A Moody's Special Re-port,2002:1-32.
[22]Lea V Carty.Bankrupt bankloan recoveries[R].Moody's Investors Service,Global Credit Research,1998:1-16.
[23]Keenan,Sean C,Shtogrin,Igor,and Sorbehart,Jorge.Historical default rates of corporate bondissuers,1920-1997[R].A Moody's Special Report,February,1998:1-61.
[24]Praveen Varma.Recovery rates on defaulted corporate bonds and preferred stocks,1982-2003[R].A Moody' s SpecialReport,December,2003:1-19.
[25]Praveen Varma.Default and recovery rates of asia-pacific corporate bondissuers,1990-2003[R].A Moody's Special Re-port,August,2004:1-20.
[26]Praveen Varma.Default and recovery rates of european corporate bond issuers:1985-2004[R].A Moody' s Special Re-port,February,2005:1-19.
[27]Van de Castle,K,D Keisman and R Yang.Suddenly structure mattered:insights into recoveries of default debt[R].Standard &Poor's,May,2000:1-47.
[28]Standard &Poors.Global cash flowand synthetic CDOcriteria[R].A Special Report,March,2002:62-69.
[29]Brennan,W,D McGirt,J Roche and M Verde . Bank loan ratings[A].In Bank loans:secondary market and portfoliomanagement[C].Frank HFabozzi Associates,New Hope,PA,1998:57-69.
[30]Mariarosa Verde.High yield defaults:spectacular records in 2001,recovery projected for 2002[J].Credit Market Re-search,February,2002:1-9.
[31]John Feeney.Recovery rate in german CDOs:extreme tendencies[R].Germany/Credit Products Special Report,Octo-ber,2003:1-5.
[32]FitchRatings.The role of recovery analysis in ratings-enhancinginformational content and transparency[J].Credit Mar-ket Research,February,2005:1-9.
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袁敏. 债务违约损失率研究综述[J]. 外国经济与管理, 2005, 27(8): 55–64.
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