Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods
Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods
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解读违约风险：建模方法、发现和估计方法回顾
DOI：
10.2139/ssrn.4048254
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发表时间：
2022
期刊：
影响因子：
--
通讯作者：
Z. Zhong
中科院分区：
文献类型：
--
作者：
G. Bakshi;Xiaohui Gao;Z. Zhong
违约风险渗透到公司债券收益和利差、信用违约互换利差、违约概率估计和违约损失的行为中。与这篇综述相关的是1974年至2021年违约过程估计的显著经验发现和意义。包括结构模型和简化形式的模型。在结构性模型中，如果资产价值低于某个债务门槛，就会发生违约。简化的模型包括对违约过程的假设，以及违约时的恢复。通过利用关于可违约债券、信用违约互换、违约变现的统计和个别股票期权的数据，违约过程估计和违约概率的测量得到了改善。实证研究继续探讨随机资产波动性、资产价值跳跃以及违约边界和公司杠杆过程的建模的相关性。预计《金融经济学年度评论》第13卷的最终在线出版日期为2022年11月。有关修订后的估计数字，请参阅http://www.annualreviews.org/page/journal/pubdates。
Default risk permeates the behavior of corporate bond returns and spreads, credit default swap spreads, estimation of default probabilities, and loss in default. Pertinent to this review are salient empirical findings and implications of default process estimation from 1974 to 2021. Both structural and reduced-form models are covered. In structural models, default occurs if the value of assets falls below some threshold obligation. The reduced-form models involve assumptions about the default process combined with recovery in default. Default process estimation and measurements of default probability have improved by exploiting data on defaultable bonds, credit default swaps, tally of default realizations, and options on individual equities. Empirical investigations continue to address the relevance of stochastic asset volatility, jumps in asset values, and modeling of default boundary and firm leverage process. Expected final online publication date for the Annual Review of Financial Economics, Volume 13 is November 2022. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.