The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk
利用美国公司信用违约互换数据，研究隐含违约回收率和违约风险跳跃的经济含义，发现有形资产多的债务人回收率更高，投资级债务人违约风险跳跃更大但结构性违约概率更低。
Abstract Using an extensive cross section of U.S. corporate credit default swaps (CDSs), this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors possessing substantial tangible assets expected to recover more. Sudden increases in the default risk of investment-grade obligors are higher relative to speculative grade. The probability of structural migration to default is low for investment-grade and heavily regulated obligors because investors fear distress rather through rare but devastating events.