结构化模型中违约概率的比较静态分析及实证被引量：4

On the Comparative Statics of Default Probability under the Structure Model:Theory and Empirical Test

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摘要由于违约概率估计在金融机构中风险测度与风险管理的重要性,基于信用风险管理的结构化方法,应用Black-Scholes-Merton的结构化模型计算客观违约概率,分析客观违约概率的比较静态特征,实证结果表明,比较静态特征在信用风险管理中起到有重要的作用。 <Abstrcat> It is very important to estimate the default probabilities in the financial institution's measurement and management. This paper analyses the comparative statics of the objective probability of default,focus on the use of structural models in credit risk management, and presents a framework to derive an objective probability of default directly, and its comparative statics based on the Black-Scholes-Merton model. Furthermore, Empirical test results have given support for using the structural model in credit risk application.

作者吴恒煜张仁寿

机构地区中山大学管理学院博士后流动站广州大学经济与管理学院

出处《系统工程》 CSCD 北大核心 2005年第5期61-66,共6页 Systems Engineering

基金中国博士后科学基金资助项目(2004036158) 广东省自然科学基金资助项目(2004140004203084) 广东省教育厅人文社会科学研究基金资助项目(02SJC790002) 广东省哲学社会科学"十五"规划资助项目(03/04C2-13)

关键词客观违约概率比较静态分析风险管理 Objective Default Probability Comparative Statics Risk Management

分类号 F830 [经济管理—金融学]

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