摘要
在Merton结构模型中引入投资者的行为作用因素,研究了市场存在不对称信息条件的公司信用风险管理.应用未定权益定价方法得到了公司的违约信用价差和违约概率的表达式,并通过一个具体实例分析了投资者行为因素对公司信用风险的影响.结果表明市场的不对称信息在风险管理过程中是不能忽视的重要因素.
Incorporating the investor＇s behaviours into the Merton＇s structural model, the problem on the credit risks management of corporation with asymmetric information is considered in this paper. By applying the contingent claim approach, the formulas of both the credit spread and the default probability are obtained, and the effects of the investor＇s behavoirs on the credit risks of the corporation are further analyzed with a numerical example. The resuits show that the asymmetric information in the risk management process is a significant factor and should not be neglected.
出处
《湖南师范大学自然科学学报》
CAS
北大核心
2008年第3期12-15,共4页
Journal of Natural Science of Hunan Normal University
基金
国家自然科学基金资助项目(40675023)
广西教育厅立项资助项目(200807LX089)
关键词
不对称信息
信用价差
违约概率
期限结构
结构化方法
asymmetric information
credit spread
default probability
term structure
structural approach
