Credit risk in private debt portfolios
Credit risk in private debt portfolios
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DOI：
10.1111/0022-1082.00056
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发表时间：
1998-08-01
影响因子：
8
通讯作者：
Carey, M
中科院分区：
文献类型：
--
作者：
Carey, M
本文给出了大量私人债券样本的违约、损失严重程度和平均损失率，并将其与公开发行债券的损失经历进行了比较。估计了投资组合遭受巨大损失的可能性，并分析了造成这种损失的一些决定因素。结果显示，以往风险更高的私人债务平均表现好于公共债务。投资组合中单个资产的分散性和风险性都会影响投资组合损失分布的坏尾。私募与公司贷款类似，都是受监管的私人债务。因此，研究结果与一般私人债务组合的管理和证券化有关。
Default, loss severity, and average loss rates for a large sample of privately placed bonds are presented and compared with loss experience for publicly issued bonds. The chance of very large portfolio losses is estimated and some determinants of such losses are analyzed. Results show ex ante riskier classes of private debt perform better on average than public debt. Both diversification and the riskiness of individual portfolio assets influence the bad tail of the portfolio loss distribution. Private placements are similar to corporate loans in that both are monitored private debt. The results are thus relevant to management and securitization of private debt portfolios generally.