期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2007
卷号：2007
出版社：London University
摘要：This paper conducts a systematic investigation into the correlation between the
default rate and three definitions of the recovery rate: price recoveries,
settlement recoveries and discounted settlement recoveries. The data suggests a
strong linear correlation for price recoveries and a weak one for settlement
recoveries, but little or no correlation for discounted settlement recoveries.
Using extreme value techniques, I show that the tail dependency for the
settlement recoveries is as strong as that for the price recoveries. The
probability of high losses (loss given default exceeding 0.9) is consistently
higher for the settlement recoveries than for the price recoveries at any level
of the quarterly default rate above 0.1%
