2011 Fiscal Year Final Research Report
Research of the recovery models with default timing.
| Project/Area Number |
22830029
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Economic statistics
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| Research Institution | Yokohama National University |
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Principal Investigator |
ITOH Yuki 横浜国立大学, 経営学部, 准教授 (70579606)
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| Project Period (FY) |
2010 – 2011
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| Keywords | 信用リスク / 債権回収率 / 計量ファイナンス / 倒産確率 |
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| Research Abstract |
We study the empirical study for the defaults and recovery rates. We investigate the effect for the default timing and recovery rate of macro variable and other variables. Also, we construct the theoretical models between default timing and recovery rates. From this model, we derive the distribution of default timing and the expectation and the variance of recovery rates.
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