试析违约回收率与违约率相关关系研究的新进展
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外国经济与管理 2006 年 第 28 卷第 12 期, 页码：32 - 39
摘要
参考文献
摘要
近年来,有学者在违约回收率与违约率相关关系研究中发现,回收率和违约率之间并非相互独立,而是存在明显的负相关关系,尤其当违约率较高时,两者之间的负相关关系更加明显。在度量信用风险时,若忽略两者之间的相关性,则通常会低估债务人的信用风险水平。目前有关两者负相关关系成因的理论解释主要有系统风险(经济周期)影响论和违约债券供需关系影响论。然而,这些关于回收率与违约率相关关系研究的结论主要来自美国市场,对其他国家和地区是否适用还需要实证检验。
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[17]Sanjiv R Das,and Paul Hanouna.Implied recovery[R].http://www.defaultrisk.com/pp_recov_73.htm,July,2006.
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[2]Altman,E I,and A C Eberhart.Do seniority provisions protect bondholders’investments?[J].Journal of Portfolio Man-agement,1994,20(4):67-75.
[3]蔡嘉倩,敬永康,沈大白.我国债务偿还率之研究[J].会计研究,2003(10):113-125.
[4]Altman,E,A Resti,and A Sironi.Analyzing and explaining default recovery rates[R].A report submitted to The Interna-tional Swaps&Derivatives Association,December,2001.
[5]Edward Altman,Andrea Resti,and Andrea Sironi.Default recovery rates in credit risk modeling:a review of the literatureand empirical evidence[R].Working Paper,December,2003.
[6]Renault,O,and Scaillet,O.On the way to recovery:a nonparametric bias free estimation of recovery rates densities[J].Journal of Banking and Finance,2004,28:2915-2931.
[7]Frye,J.Collateral damage[J].Risk,2000,13(4):91-94.
[8]Frye,J.Collateral damage detected,Federal Reserve Bank of Chicago[R].Working Paper,Emerging Issues Series,Octo-ber,2000.
[9]Gupton,Greg M Hamilton,David T,and Alexandra Berthault.Default and recovery rates of corporate bond issuers:2000[R].Working Paper,Moody’s Investors Service,New York,February,2001.
[10]Bakshi,G,Dilip Madan,and Frank Zhang.Understanding the role of recovery in default risk models:empirical compari-sons and implied recovery rates[R].Working Paper,Finance and Economics Discussion Series,2001-37,FEDS,Washing-ton D.C.,2001.
[11]Yen-Ting Hu,and W Perraudin.The dependence of recovery rate and defaults[R].CEPR Working Paper,2002.
[12]Cantor,R,D T Hamilton,and S Ou.Default and recovery rates of corporate bond issuers[R].Working Paper,Moody’sInvestors Services,February,2002.
[13]Carey,Mark,and Michael Gordy.Systematic risk in recoveries on defaulted debt[R].Working Paper,Mimeo,Federal Re-serve Board,Washington D.C.,2003.
[14]John Hull,and Alan White.Valuation of a CDO and an nthto default CDS without monte carlo simulation[J].Journal ofDerivative,2004,12(2):8-23.
[15]Edward I Altman,Brooks Brady,Andrea Resti,and Andrea Sironi.The link between default and recovery rate:theory,empirical evidence and implications[J].The Journal of Business,2005,6:2203-2228.
[16]Yen-Ting Hu,and Extreme.Correlation of defaults and LGDs[R].Working Paper,University of London,August,2005.
[17]Sanjiv R Das,and Paul Hanouna.Implied recovery[R].http://www.defaultrisk.com/pp_recov_73.htm,July,2006.
[18]Edward I Altman,Andrea Resti,and Andrea Sironi.The link between default and recovery rates:effects on the procycli-cality of regulatory capital ratios[R].BIS Working Paper No.113,July,2002.
[19]Edward I Altman,and Jason Pompeii.The performance of defaulted bonds and bank loans:1987-2001[R].NYUSalomon Center Working Paper Series,January,2002.
引用本文
李晓庆, 郝丽风, 郑垂勇. 试析违约回收率与违约率相关关系研究的新进展[J]. 外国经济与管理, 2006, 28(12): 32–39.
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