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近年来,有学者在违约回收率与违约率相关关系研究中发现,回收率和违约率之间并非相互独立,而是存在明显的负相关关系,尤其当违约率较高时,两者之间的负相关关系更加明显。在度量信用风险时,若忽略两者之间的相关性,则通常会低估债务人的信用风险水平。目前有关两者负相关关系成因的理论解释主要有系统风险(经济周期)影响论和违约债券供需关系影响论。然而,这些关于回收率与违约率相关关系研究的结论主要来自美国市场,对其他国家和地区是否适用还需要实证检验。
In recent years, some scholars found that the relationship between recovery rate and default rate found that the recovery rate and default rate are not independent of each other, but there is a clear negative correlation, especially when the default rate is high, between the two The negative correlation is more obvious. In measuring credit risk, ignoring the correlation between the two usually underestimates the level of the debtor’s credit risk. At present, the theoretical explanations of the causes of the negative correlation between the two mainly include the influence of the systemic risk (economic cycle) and the impact of supply and demand of defaulted bonds. However, the conclusions of these researches on the relationship between recovery rate and default rate come mainly from the U.S. market, and the empirical test of the applicability to other countries and regions is also needed.