Default Recovery Rates and Lgd in Credit Risk Modelling and Practice
Default Recovery Rates and Lgd in Credit Risk Modelling and Practice
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信用风险建模和实践中的违约回收率和违约率
DOI：
10.1093/oxfordhb/9780199546787.013.0003
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
E. Altman
中科院分区：
文献类型：
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作者：
E. Altman
近年来来自许多国家的证据表明，公司违约的抵押品价值和回收率可能不稳定，而且，在经济衰退期间，当违约数量增加时，抵押品价值和回收率往往会下降。传统上，信用风险模型忽略了回收率和违约率之间的这种联系，因为大多数模型都侧重于违约风险，并采用静态损失假设，将回收率视为常数参数或独立于违约概率的随机变量。这一传统的重点违约分析已部分扭转了最近显着增加的研究，致力于回收率估计和违约率和回收率之间的关系的主题。本文详细回顾了过去30年来发展起来的信用风险模型，讨论了回收率，更具体地说，讨论了回收率与债务人违约概率的关系。我们还回顾了评级机构将恢复评级正式纳入其对公司贷款和债券信用风险的评估的努力，以及巴塞尔银行监管委员会最近在巴塞尔II的建议要求中考虑“低迷LGD”的努力。最新的经验证据有关这些问题和高收益债券和杠杆贷款违约的最新数据也提出和讨论。
Evidence from many countries in recent years suggests that collateral values and recovery rates on corporate defaults can be volatile and, moreover, that they tend to go down just when the number of defaults goes up in economic downturns. This link between recovery rates and default rates has traditionally been neglected by credit risk models, as most of them focused on default risk and adopted static loss assumptions, treating the recovery rate either as a constant parameter or as a stochastic variable independent from the probability of default. This traditional focus on default analysis has been partly reversed by the recent significant increase in the number of studies dedicated to the subject of recovery rate estimation and the relationship between default and recovery rates. This paper presents a detailed review of the way credit risk models, developed during the last thirty years, treat the recovery rate and, more specifically, its relationship with the probability of default of an obligor. We also review the efforts by rating agencies to formally incorporate recovery ratings into their assessment of corporate loan and bond credit risk and the recent efforts by the Basel Committee on Banking Supervision to consider “downturn LGD” in their suggested requirements under Basel II. Recent empirical evidence concerning these issues and the latest data on high-yield bond and leverage loan defaults is also presented and discussed.