Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Chinese Journal of Management Science》 2016-01
Add to Favorite Get Latest Update

Endogenous Recovery Rate and Credit Risk Measurement

WU Jian-hua;WANG Xin-jun;ZHANG Ying;School of Mathematical Sciences,University of Jinan;School of Economics,Shandong University;  
In credit risk models,exogenous recovery rate may neglect the impact on the tail of the loss distribution,and the exogenous specify of the recovery rate leads to the possible model risk.This paper incorporates the factor diffusion process into the structure model of default,derives the inherent relation between the recovery rate and the default probability and analyzes the dependence of expected recovery rate on the expected default probability by using the MC technology.The result shows there are strong negative correlation between expected recovery rates and default probability.Furthermore,the volatility of the asset value has positive compact on the correlation.In the framework of the endogenous recovery rate,the probability distribution of the credit loss is derved,and two index,Credit VaR and ETF,which is the measurement of the credit risk are computed.Finally,the performance of the endogenous recovery rate is tested-based on credit risk model using the market data,which shows that the model can well-character the evolution of the history default probability and recovery rates.
【Fund】: 教育部人文社科规划基金资助项目(13YJAZH091);; 国家社会科学基金资助项目(12BTJ015);; 济南大学社科基金资助项目(15Y1329);济南大学优秀人才科研基金资助项目(1008359 1008645)
【CateGory Index】: F830.9;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved