| 随机现金流下的违约回收率模型 |
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| 引用本文： | 陈光忠,唐小我,倪得兵. 随机现金流下的违约回收率模型[J]. 系统工程, 2009, 0(9) |
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| 作者姓名： | 陈光忠 唐小我 倪得兵 |
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| 作者单位： | 电子科技大学管理学院;眉山银监分局; |
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| 基金项目： | 教育部科学技术研究重点项目(105149); 教育部博士点基金资助项目(20060614023); 科技部科技基础工作专项项目(2007FY140400) |
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| 摘 要： | 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。
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| 关 键 词： | 信用风险 违约回收率 现金流 |
A Recovery Rate Model under Stochastic Cash Flow |
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| CHEN Guang-zhong,TANG Xiao-wo,NI De-bing. A Recovery Rate Model under Stochastic Cash Flow[J]. Systems Engineering, 2009, 0(9) |
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| Authors: | CHEN Guang-zhong TANG Xiao-wo NI De-bing |
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| Affiliation: | CHEN Guang-zhong1,2,TANG Xiao-wo1,NI De-bing1(1.School of Management,University of Electronics Science and Techenology,Chengdu 610054,China,2.Meishan Field Office of CBRC,Meishan 620000,China) |
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| Abstract: | Recovery Rate(RR) is the basic variable of credit risk management,which is influenced by the financial situation of the obligor.The cash flow is uncertainty when a corporate is faced with financial distress.Based on continuous-time asset pricing theory,this paper develops a RR model under the assumption of stochastic cash flows,where RR is determined endogenously by the corporate finance structure.Under our assumptions,recovery rate is positively correlated with the company's cash flow pressure,cash flow dr... |
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| Keywords: | Credit Risk Recovery Rate of Default Cash Flow |
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