The Dynamic Analysis of Implied Default Probabilities and Recovery Ratios: A Case Study of Lehman Brothers Bankruptcy
碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 97 === In this paper, dynamic analysis approach is applied to study the variation of implied default probabilities and recovery ratios in risk neutral way when Lehman Brothers declare bankruptcy from the period of 2007-2008 as the breakpoint. Based on the reduce-for...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67043590756203831148 |
| Summary: | 碩士 === 國立高雄第一科技大學 === 金融理財研究所 === 97 === In this paper, dynamic analysis approach is applied to study the variation of implied default probabilities and recovery ratios in risk neutral way when Lehman Brothers declare bankruptcy from the period of 2007-2008 as the breakpoint. Based on the reduce-form model of modified by Andritzky (2005) , this approach divides bonds of Lehman Brothers into four groups classified by different priority claims and assumes that the recovery ratios are exogenous and endogenous respectively for study restrictions in order to compare the difference of implied default probabilities and recovery ratios under different conditions. The empirical results show that transitions of parameters in model matching the credit events aroused by Lehman Brothers allow the period analysis into four levels. The bonds with lower priority claims change the default probabilities larger in early times; the long-term cumulative default probabilities have effects of parameters in model with significance than the short-term. Under the assumption of endogenous recovery ratios, the default probabilities fluctuates obviously than exogeneity and the theoretical value of the model is closer to market value. The expected recovery ratios are above 80% in the initial period to an average of 10% after default.
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