信用风险度量的结构化方法
Modeling Credit Risk With Structural Model
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摘要: 在对单一资产信用风险的度量方法——结构化模型进行详细介绍的基础上,分析对比了企业价值方法和首越时间(firstpassagetime,FPT)方法两种代表性模型的优势与缺陷,探讨了该方法的参数计算过程中应注意的问题;从组合管理的角度出发,对结构化方法框架下违约相关性的计算进行了分析,并给出了该类模型在国内的应用前景与展望.Abstract: Structure model is an effective credit risk measurement. There are two kinds of typical methods in this family, the firm value and first passage time(FPT). After a detail illustration of credit risk modeling methods and the estimation of parameters, the default dependence between firms was also discussed under a structural framework. A prospect about the application of the structural model in Chinese risk management was made at last.
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