El papel de modernizar la severidad implícita de mercado para calcular el valor en riesgo de crédito
- Cossío Silva, F. J. (coord.)
Verlag: Escuela Superior de Gestión Comercial y Marketing, ESIC
ISBN: 978-84-7356-609-4
Datum der Publikation: 2009
Kongress: Asociación Europea de Dirección y Economía de Empresa. Congreso Nacional (23. 2009. Sevilla)
Art: Konferenz-Beitrag
Zusammenfassung
In this paper we propose to use beta-component mixtures to model the market-implied severity. In our analysis we extract and identify recovery rates from credit default swaps instead of using defaulted bonds. The main advantage of extracting implied, endogenous and dynamic functions of recovery rates from credit default swaps versus using defaulted bonds is that it allows to identify recovery rates of low probability of default companies. We carry out an empirical analysis and our results show that a single beta distribution is rejected as a correct specification for implied recovery rates while a beta-component mixture is accepted. Futhermore, we highlight the importance of this modeling approach by focusing on its role for credit VaR.