Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market
Default Intensity and Expected Recovery of Japanese Banks and "Government": New Evidence from the CDS Market
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日本银行和“政府”的违约强度和预期复苏：来自CDS市场的新证据
DOI：
10.21314/jcr.2007.049
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发表时间：
2007
影响因子：
0.3
通讯作者：
N. Baba
中科院分区：
文献类型：
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作者：
Yoichi Ueno;N. Baba
使用日本四家大型银行和政府的信用违约掉期（CDS）利差的期限结构数据，我们共同估计了违约强度和违约情况下的预期恢复（损失）。在此过程中，我们试图进一步确定高级和次级 CDS 合约之间预期回收率的差异。估算结果总结如下。 (i) 自 20 世纪 90 年代末以来，银行和政府的违约强度在银行业危机时期大幅上升。 (ii) 次级 CDS 合约的预期回收率明显低于高级 CDS 合约的预期回收率，为高级 CDS 合约的 46% 至 85%，具体取决于银行。 (iii) 每家银行的违约强度与日本政府的违约强度显着协整并对其做出反应。这一结果表明，日本主要银行的系统性风险因素与日本政府的违约强度密切相关。
Using term structure data of Credit Default Swap (CDS) spreads for the four Japanese mega-banks and the government, we jointly estimate the default intensity and expected recovery (loss) given a default. In doing so, we attempt to further identify the difference in the expected recovery ratios between senior and subordinated CDS contracts. Estimation results are summarized as follows. (i) The default intensities for the banks and the government substantially rose in times of a banking crisis since the late 1990s. (ii) The expected recovery ratios for subordinated CDS contracts are significantly smaller than those for senior CDS contracts, ranging from 46 to 85 percent of those for senior CDSs, depending on the banks. (iii) Each bank's default intensity is significantly cointegrated with, and reacts to, the Japanese government's default intensity. This result implies that a systemic risk factor among Japanese major banks is closely related to the default intensity of the Japanese government.
信用衍生品溢价作为新日本溢价
DOI：
--
发表时间：
2004
期刊：
Journal of Money, Credit and Banking 36(5)
影响因子：
--
作者：
Takatoshi Ito;kimie Harada
通讯作者：
kimie Harada
日本银行脆弱性，1995-2003 年
DOI：
--
发表时间：
2006
期刊：
Michel Hutchison and Frank Westermann (eds. )“The Great Japanese stagnation : Financial and monetary Policy Lessons for Advanced Economies"
影响因子：
--
作者：
Takatoshi lto;Kimie Harada
通讯作者：
Kimie Harada