The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads
利用152家公司的三年日度数据，从信用违约互换价差中估计回收率，发现平均回收率为54%，且公司间差异显著；采用此方法估计的五年违约概率比标准40%回收率假设高出67%，对结构化信用产品估值有重要影响。
Abstract Rather than assuming a fixed recovery rate in estimation, we estimate recovery rates from credit default swap spreads, using 3 years of daily data on 152 corporations. We use a quadratic pricing model, which ensures nonnegative default probabilities and recovery rates. The estimated cross section of recovery rates is plausible, with an average recovery rate of 54% and substantial cross-sectional variation. Estimated 5-year default probabilities are on average 67% higher than default probabilities obtained using the standard 40% recovery assumption. This finding critically impacts the valuation of structured credit products. Larger firms and firms with more tangible assets have higher recovery rates.