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International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)

Chengdu,China,China,3.24-3.26,2010

ISBN: 978-1-935068-05-1 Scientific Research Publishing, USA

Paperback 6066pp Pub. Date: March 2010

Category: Engineering

Price: $280

Title: The link between Default Rates and Recovery Rates: Model and Evidence from China
Source: International Conference on Engineering and Business Management (EBM 2010 PAPERBACK) (pp 4123-4126)
Author(s): Guang-zhong Chen, School of Management and Economics of UESTC ,Chengdu 610054,China; Meishan Field Office of CBRC, Meishan 620000,China
Xiao-wo Tang, School of Management and Economics of UESTC ,Chengdu 610054,China;
Abstract: Abstract: RR and its relationship with PD affect the credit risk of a financial asset. Under the framework of the structure credit risk model we developed a RR analytic expression, in which the corporate value drift rate is replaced by risk free rate. The factors which influence the link between PD and RR are investigated. With Sichuan wholesale non-perform loans data, the association is empirically tested at aggregate level，the result is that they are negatively correlated.
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