On study of the recovery rate via the credit default swap spread and default probability

• Main Authors: Hsiu-Ho Lin, 林修禾
• Other Authors: Chih-Kang Chu
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/8sy634

碩士 === 國立東華大學 === 應用數學系 === 106 === We use a discrete-time default model to obtain the model-based theoretical estimators of the credit default swap spread for one-year, three-year, and five-year contracts. Due to that those estimators include an unknown recovery rate, we combine the daily credit default swap spreads with model theoretical estimators and apply the least square method to estimate the recovery rate. To validate this proposed method, we collect 12 companies from the Datastream database and the Credit Research Initiative (CRI) database of Risk Management Institute in the National University of Singapore to estimate recovery rates. We compare the estimated recovery rates of the 12 companies with the recovery rates collected from Moody's Default & Recovery database (DRD). The empirical results show that the estimated recovery rate based on the five-year credit default swap contract is closer to actual recovery value.