现代信用风险度量模型的最新理论研究进展

Latest Theoretical Research Progress in Modern Credit Risk Measurement Models

文章对现代信用风险模型的理论研究进行了系统梳理,详细回顾了资产价值驱动的内生违约的结构模型、随机跳过程假设下的外生违约的简约模型和不完全信息下的信用风险度量模型的研究路径,发现现有的研究在不完全信息的刻画、不完全信息下信用衍生品定价和违约相关性方面研究处于起步阶段。目前的研究方向大体可以分成三类:如何从交易噪声和信息滞后的角度来定义不完全信息、如何处理信用产品定价模型中的参数估计和状态估计问题和如何利用copula函数来处理不完全信息下的违约传染问题。

Based on a systemic review of the theoretical research on modern credit risk models and a retrospec- tive study of the research routes for capital value-driven endogenous default structure model, random jump-based ex- ogenous default parsimonious model and incomplete information-based credit risk measurement model, it is found that the current study is still in its initial stage in terms of incomplete information depiction, incomplete information-based credit derivative pricing and default correlation, and that the current study orientations can be classified into three types, i.e. , how to define incomplete information from the perspective of trading noise and information delay, how to deal with the parameter and state estimating issues concerning the credit derivative pricing model, and how to deal with the incomplete information-based default contagion issues by adopting the copula function.