具有信用等级转移特征公司破产概率研究

On the Ruin Probability for a Corporation with Credit Rating Migration

研究了具有信用等级转移特征公司的破产概率问题。考虑公司的信用评级体系不但包括Yang（2003）中所考虑的信用等级，而且考虑了违约状态，并假设公司在这些信用等级之间的转移服从时间齐次的带有吸收状态的马氏链（time homogenous terminating Markov Chain）。在这样的假设下，在考虑和不考虑利率效应的前提下求得了公司破产概率的递推公式，并给出了数值算例。

This paper constructs a model for a company with credit rating migration. The model includes the states considered by Yang （2003） but also includes the default state. When assuming that the credit ratings follow a time homogenous terminating Markov Chain, to calculate the ruin probability when the interest effect is taken and is not taken into consideration. The recursive formulas are derived and to illustrate the result more clearly, a numerical example is given as well.