The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
复制标题
企业违约风险市场中跳跃率和回收率的经济作用
DOI：
10.1017/s0022109010000554
复制
发表时间：
2009
影响因子：
3.9
通讯作者：
Tanja Veža
中科院分区：
文献类型：
--
作者：
P. Schneider;Leopold Sögner;Tanja Veža
摘要利用美国企业信用违约互换(CDS)的广泛横截面，本文对违约隐含损失(LGD)和违约风险跳跃提供了经济学上的理解。我们制定并巩固了关于CDS利差的经验风格化事实，然后在我们的基于仿射强度的跳跃扩散模型中复制了这些事实。隐含的LGD被很好地识别，拥有大量有形资产的债务人预计会收回更多。相对于投机级，投资级债务人违约风险的突然增加更高。对于投资级和监管严格的债务人来说，结构性转向违约的可能性很低，因为投资者担心困境，而不是通过罕见但毁灭性的事件。
Abstract Using an extensive cross section of U.S. corporate credit default swaps (CDSs), this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors possessing substantial tangible assets expected to recover more. Sudden increases in the default risk of investment-grade obligors are higher relative to speculative grade. The probability of structural migration to default is low for investment-grade and heavily regulated obligors because investors fear distress rather through rare but devastating events.