论文部分内容阅读
违约回收率是信用风险管理的基础变量,债务人的财务状况是影响违约回收率的重要因素之一。当公司遇到财务困难时现金流的不确定性非常高,本文利用连续时间资产定价理论,研究了债务人随机现金流情况下的违约回收率,违约回收率是公司现金流状况的内生变量。违约回收率与公司现金流压力,现金流漂移率,公司违约区间相对长度正相关,与现金流波动率负相关。用四川大额不良贷款数据验证了模型结果。
Default recovery rate is the basic variable of credit risk management, and the debtor’s financial status is one of the important factors affecting the recovery rate of default. When the company encounters financial difficulties, the uncertainty of cash flow is very high. In this paper, using the continuous-time asset pricing theory, we study the default recovery rate under the random cash flow of the debtor. The default recovery rate is the endogenous variable of the cash flow of the company. The default recovery rate is positively correlated with the company’s cash flow pressure, cash flow drift rate, the relative length of the company’s default interval, and the cash flow volatility. The large-scale non-performing loan data in Sichuan verified the model results.