基于资产波动性的现代信用风险评估方法

Modern Credit Risk Valuing Method Based on Asset Volatility

信用风险评估是债务融资的关键,针对传统信用评估方法的不足,使用一种从资产价值波动的角度出发,利用期权理论进行信用评估的方法—结构模型。利用无套利分析方法和随机分析方法,对相关变量给出具体的分析过程和求解公式。最后把该方法和传统评估方法进行了比较。

Credit risk valuation is a necessary prerequisite to debt financing. The approach presented here differs in many aspects from traditional methods. It is based on asset valuation volatility and option pricing theory. With No-arbitrage and Stochastic analytical method, the paper analysed and caculated the relative variables in the structural model. At last, the two methods are compared.