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Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit

Listed author(s):
  • Hayette Gatfaoui

    (University of Paris 1 - Panthéon-Sorbonne)

La marge de taux obligataire ou encore le spread de crédit est réputé(e) pour son rôle de mesure du risque de crédit. Dans ce contexte, l’attention est portée à deux de ses principales composantes : le risque de défaut et le risque de liquidité. L’évolution du risque de défaut dépend alors de l’articulation entre ces deux quantités que l’on ne sait pas encore distinguer l’une de l’autre. Dans un contexte de crise financière, le risque de défaut l’emporte sur le risque de liquidité, ce qui se matérialise par un phénomène de “flight-to-quality”. Par contre, dans un cadre économique défavorable, le risque de liquidité l’emporte sur le risque de défaut engendrant ainsi un phénomène de “flight-to- liquidity”. Par conséquent, même si ces phénomènes semblent liés, il est aisé de comprendre l’importance que représente l’enjeu de la possibilité d’une mesure séparée de chacun de ces risques. En ce sens, nous tentons d’élaborer une méthodologie fondée sur des estimations économétriques s’appuyant sur les taux de swaps pour tenter de distinguer l’évolution de chacune de ces deux composantes. En effet, le spread de taux de swaps contre taux du gouvernement joue le rôle d’indicateur de l’effet de liquidité dans notre étude. Ensuite, en relation avec la théorie moderne de l’évaluation du risque de crédit, nous tentons de caractériser l’évolution continue du risque de défaut à travers une méthode d’estimation de diffusions stochastiques.

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File URL: http://econwpa.repec.org/eps/ri/papers/0308/0308005.pdf
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Paper provided by EconWPA in its series Risk and Insurance with number 0308005.

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Length: 35 pages
Date of creation: 27 Aug 2003
Handle: RePEc:wpa:wuwpri:0308005
Note: Type of Document - Acrobat pdf; prepared on PC; to print on HP/PostScript; pages: 35 ; figures: included. Paper Written in French. Shorter draft forthcoming in the 'Revue des Sciences de Gestion'.
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