回收率与违约的依赖关系

ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics (Topic) Pub Date : 2006-02-01 DOI:10.2139/ssrn.1961142

W. Perraudin, Yen-Ting Hu

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引用次数: 148

摘要

在分析信用组合和为信用衍生品定价的基于评级的标准模型中，假设违约和收回在统计上是独立的。本文提供的证据表明，季度违约率和回收率实际上是负相关的。利用极值理论技术，我们证明了依赖关系影响总信用损失分布的尾部行为，并导致更高的VaR度量。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Dependence of Recovery Rates and Defaults

In standard ratings-based models for analyzing credit portfolios and pricing credit derivatives, it is assumed that defaults and recoveries are statistically independent. This paper presents evidence that aggregate quarterly default rates and recovery rates are, in fact, negatively correlated. Using Extreme Value Theory techniques, we show that the dependence affects the tail behavior of total credit loss distributions and leads to higher VaR measures.

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ERN: Other Econometrics: Applied Econometric Modeling in Financial Economics (Topic)

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