随机现金流下的违约回收率模型  

A Recovery Rate Model under Stochastic Cash Flow

作　　者：陈光忠[1,2] 唐小我[1] 倪得兵[1] 

机构地区：[1]电子科技大学管理学院,四川成都610054 [2]眉山银监分局,四川眉山620000

出　　处：《系统工程》2009年第9期22-28,共7页Systems Engineering

基　　金：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)

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。Based on the multi-breaks test and linear and non-linear Granger non-causality test, this paper deals with the relationship between Shanghai Composite Index and House Prosperity Indices after the reforming of private housing of China is discussed in this paper. The empirical results show that both of them are trend-stationary serial around the break- points, thus exogenous shock could only have temporary impact on them; the real estate market is a good indicator of macroeeonomie development while the stock market is less relevant to it; Shanghai Composite Index can linearly Granger- causes House Prosperity Indices, while House Prosperity Indices only non-linearly Granger-causes Shanghai Composite Index at longer time intervals.

关 键 词：信用风险 违约回收率 现金流 

分 类 号：F224[经济管理—国民经济]