双指数跳跃扩散条件下上市公司违约风险分析

Default risk for listed companies in double exponential jump diffusion process

以期权定价为基础,公司股权可看作资产价值的欧式看涨期权,通过上市公司金融市场股权信息度量资产价值变化,进而测算公司违约概率.金融资产收益率分布具有尖峰厚尾性,将双指数分布跳跃扩散过程引进违约风险模型,使用新信用模型识别公司资产价格跳跃风险,对上市公司违约距离和违约概率进行测算.实证研究表明:公司收益率波动存在尖峰厚尾特点,违约风险跳跃特点显著,受外界消息冲击出现上跳和下跳的风险,样本行业对外界突发冲击均存在敏感性.跳跃情形下资产价值距违约门槛更近,短期内跳跃风险对违约概率影响具有异质性,长期内跳跃风险下累积违约概率均高于无跳跃风险情形.实证结果进一步表明新模型的优越性,为应对违约风险加强风险管理提供了新思路.

A company＇s equity value can be considered as an option of asset values, which can utilize the equity information of listed companies in financial markets to calculate the corresponding value of asset change,thus measuring the default possibility. Given that the distribution of financial asset returns has the steep peak and heavy tail feature, the double exponential distribution jump diffusion process is introduced into the default model. By using a new credit model, the paper identifies the price jump risk of financial assets in listed companies, and measures default distance and default probability. The analysis and empirical studies illustrate that the steep peak and heavy tail characteristic do exist, and that the jump characteristic of default risk is significant, which exhibits upside jump and downside jump when influenced by external messages and shows certain sensitivity to shocks. The distance between asset value and default threshold is shorter in leap circumstances.It is the industry idiosyncratic factor that affects the default probability in the short term, and the accumulation default probability of jump risk is higher than that without jump risk in the long run. The model and the empirical result prove the superiority of the new model, which provide a novel thinking in applying default risk to risk management.