کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090148 1375619 2010 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Recovery rates, default probabilities, and the credit cycle
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Recovery rates, default probabilities, and the credit cycle
چکیده انگلیسی
In recessions, the number of defaulting firms rises. On top of this, the average amount recovered on the bonds of defaulting firms tends to decrease. This paper proposes an econometric model in which this joint time-variation in default rates and recovery rate distributions is driven by an unobserved Markov chain, which we interpret as the “credit cycle”. This model is shown to fit better than models in which this joint time-variation is driven by observed macroeconomic variables. We use the model to quantitatively assess the importance of allowing for systematic time-variation in recovery rates, which is often ignored in risk management and pricing models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 4, April 2010, Pages 754-764
نویسندگان
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