Discount Rate for Workout Recovery: An Empirical Study
Discount Rate for Workout Recovery: An Empirical Study
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锻炼恢复的折扣率：实证研究
DOI：
10.2139/ssrn.907073
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
David Schwartz
中科院分区：
文献类型：
--
作者：
Brooks Brady;P. Chang;Peter Miu;Bogie Ozdemir;David Schwartz
为了遵守巴塞尔II的高级内部评级法，金融机构需要估计其工具的违约经济损失，以计算雅阁第一支柱下的最低监管资本要求。估计违约损失率的关键参数之一是适用于测试恢复值的适当贴现率（以及风险溢价）。通过将违约后的回收现金流与违约债务的市场价格进行匹配，使用包含不良债券和贷款的综合数据库，对隐性风险溢价的决定因素进行了实证分析。我们发现，投资者对违约债务的回收价值的不确定性是风险溢价的主要驱动力。风险溢价因初始发行人评级、该行业在违约时是否面临压力、与其他债务和工具类型的相对优先级而存在显着差异。的结论被发现是强大的潜在的混淆所需的风险溢价的决定因素。
In order to comply with the Advanced Internal Rating-Based (IRB) approach of Basel II, financial institutions need to estimate the economic loss given default (LGD) of their instruments in order to compute the minimum regulatory capital requirement under Pillar I of the accord. One of the key parameters in the estimation of LGD is the appropriate discount rate (and thus risk premium) to be applied to the workout recovery values. By matching the recovery cash flows received post-default with the market prices of defaulted debts, we conduct an empirical analysis to study the determinants of the implicit risk premium by using a comprehensive database comprising both distressed bonds and loans. We find that investor uncertainty concerning the recovery value of defaulted debt is the primary driver of risk premiums. Risk premiums vary significantly by initial issuer ratings, whether or not the industry is in stress at the time of default, relative seniority to other debt and instrument type. The conclusions are found to be robust to potentially confounding determinants of required risk premium.