| dc.description.abstract | The rapid changes and violent competitions of the economy have not only let the enterprise face more risk and uncertainties but also let the banks have to take more risk on the commercial loan. Therefore, besides looking for the outstanding accomplishments and profits banks need to control the degrees of exposed risk and expected loss. There have been a lot of researches about how to measure the probability of default. But there is another thing that the banks pay more attention to. That is the recoveries from the enterprise that has defaulted. If the recoveries are low, the losses of the bank will be a lot. We attempt to fount a model to estimate the recovery rate. We also hope that banks can use the model to measure the loss of default before an enterprise really defaults. Additionally, we also discuss the relationship between default rate and recovery rate and the relationship between economy and recovery rate. When we establish the recovery predict model, we will consider default rate and economic situation.
According to the results of empirical study, the conclusions are as follow:
1. The relationship between the default rate and the recovery rate is negative. When the default rate is low, the recovery rate is high. In other words, when the default rate is high the recovery rate will be low.
2. Using the stock return and economic growth rate as the proxy variables of the economy. We find that when the economy blossom the recovery rate is high; when the economy decline the recovery rate is low.
3. The obvious variables in the model are the scale of corporate, default rate, use ratio, average recovery rate of collateral, numbers of correspondent banks, and stock index return.
4. The most important factor that influences the recovery rate is collateral. Economic situation is the second important factor. Therefore, the policy of making loans is the most important thing that determine the recovery rate. If banks request more collaterals banks will suffer less uncertainty. | en_US |