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KMV模型在公司信用风险测量中的应用 被引量:1

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摘要 文章主要阐述了KMV模型的基本思想,用期权定价理论来度量公司的信用风险,同时针对资产价值增长率不为零的情况对KMV模型进行了修正,最后对公司的违约概率进行了敏感性分析,同时总结了KMV模型在度量我国公司信用风险时的优缺点。
出处 《统计与决策》 CSSCI 北大核心 2008年第19期166-168,共3页 Statistics & Decision
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