Default and Recovery Risk Dependencies in a Simple Credit Risk Model
发现美国债券的信用评级、评级变动和宏观经济因素能显著解释违约与回收风险，且两者高度相关，因此提出了一个联合估计随时间变化的违约概率和回收率的模型。
This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide a highly significant explanation for default risk and recovery risk of US bond issues. The empirical data suggest that default and recovery processes are highly correlated. Therefore, a joint approach is required for estimating time-varying default probabilities and recovery rates that are conditional on default. This paper develops and applies such a model.