含跳跃风险的公司贷款违约率测度——基于首达时模型的理论扩展

Assessing default rate of corporate loan in the first-passage time model with jump risk

在美国金融危机、欧债危机及国内各种突发事件的冲击下,我国各类公司均遭受了不同程度的损失,资产价值短时间内迅速下降,违约率急增.而基于纯扩散过程的贷款违约率测度模型无法刻画公司资产价值的这种跳跃风险.考虑到无论何时公司资产价值只要低于违约门限便可能违约的特性,本文以贷款违约率首达时模型为基础,从理论上探讨了违约门限为常数及可变时,跳跃风险对贷款违约率的影响.为了使该概率测度可用于实证研究,本文还重点分析了跳跃因素引入后公司资产结构的变化,导出了公司权益价值和资产价值间的非线性关系,并给出了违约概率参数的估计方法.

Recently,Chinese corporations are constantly disturbed by external and internal unexpected events,such as US financial crisis,European debt crisis,snow disasters and earthquakes,which make the asset values plummet in a short time and thus cause the high default rates of corporate loans. Obviously,the existing diffusion-process based default models can not illustrate this kind of jump risk. This paper tries to introduce the jump factor into the First-Passage time model and discusses how jump risk impacts on corporate default rates when the default threshold keeps constant or changes. In addition,this paper analyzes the asset structure of corporations,derives the non-linear relation between equity value and asset value and provides the methods estimating the parameters in the model.