摘要
通过对风险贷款与某种形式期权的对比分析,得出它们具有同构性的结论,在此基础上,介绍和推导了以该结论和期权理论分析法为基础的KMV信用监控模型,并对模型的优点和需要修正的缺点进行了论述。
Through a comparative analysis of risk loan and option,a conclusion is arrived at that risk loan and option are isomorphic. Based on the conclusion and option-theoretic approach,this paper introduces and deduces a KMV credit monitor model,and some comments about the model are made.
出处
《西安交通大学学报（社会科学版）》
2004年第1期25-29,58,共6页
Journal of Xi'an Jiaotong University：Social Sciences
基金
国家自然科学基金项目(70371036)
国家自然科学基金资助优秀研究群体项目(70121001)
关键词
金融管理
信用风险
期权理论分析法
预期违约频率
financial management
credit risk
option-theoretic approach
expected contract-breaching frequency
