信用风险结构化和简约化模型的比较研究——基于信息的视角

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摘要本文基于信息的视角研究了信用风险的结构化和简约化模型的差异性。研究表明:简约化模型和结构化模型的差异性不在于公司债券的违约时间是否可测,而在于公司的财务信息能否完全被市场捕捉,进而有基于信用衍生品定价和对冲的目的,简约化模型是更好的选择。

作者田新时葛静

机构地区华中科技大学经济学院

出处《当代经济》 2013年第6期126-128,共3页 Contemporary Economics

关键词信用风险结构化模型简约化模型违约时间信息集

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当代经济

2013年第6期

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