两类主流信用风险定价模型的比较分析

Comparing and Analyzing of the Structure Model and Simple Form Model on Credit Risk Pricing

目前,对信用风险的定价主要有两种模型,即结构模型和简约型模型。结构模型以Merton(1974)模型为原型,以企业的资产价值为定价模型的输入参数,采用Black&Scholes期权定价方法对信用风险进行定价。简化型模型放弃了对企业资产价值的依赖,直接用一个外生变量来刻画企业的违约过程,并以此确定公司的违约概率,进而定价信用风险。

At present,there are two ways to summarize the methods of credit pricing. The one is structural model which is based on Melton （1974） model,it adopts the value of the firm as a parameter, and the Black- Scholes＇ formula is adopted to pricing credit risk in the model. The other one is reduced- form approach, which needn＇t to know the firm＇s value, the default process is described by an exogenous variable, and the default probability is measured by the variable, so the value of credit risk can be priced.