This paper presents structural approach for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return ...This paper presents structural approach for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investment, the most notable being that the yields on bonds correlate strongly to their perceived credit risk. Structural approach is based on the volatility of the total value of the firm. The credit risk to this measured in a standard way. The random time of default is defined in an intuition way. The default event is linked to the notion of the firm＇s insolvency. This approach is known to generated low credit spreads for corporate bonds close to maturity. It requires a judicious specification of the default barrier in order to get a good fit to the observed spread curves.展开更多
With the accelerated development of population aging, the pressure to pay for the future pension fund in our country is increasing. Affected by many factors, such as investment limits, inflation and interest rate cut,...With the accelerated development of population aging, the pressure to pay for the future pension fund in our country is increasing. Affected by many factors, such as investment limits, inflation and interest rate cut, the rate of return on investment is very low. The introduction of the new policy allows the basic pension fund to enter the capital market, which is of great significance to improve the rate of return on investment, ease the pressure of capital gap, and promote the healthy development of the capital market. This paper makes a deep analysis of the rationality of the basic endowment insurance fund entering the market, and then puts forward some suggestions to avoid the risk of the pension market.展开更多
文摘This paper presents structural approach for the valuation of credit risk. Credit risk arises whenever a borrower is expecting to use future cash flows to pay a current debt. It is closely tied to the potential return of investment, the most notable being that the yields on bonds correlate strongly to their perceived credit risk. Structural approach is based on the volatility of the total value of the firm. The credit risk to this measured in a standard way. The random time of default is defined in an intuition way. The default event is linked to the notion of the firm＇s insolvency. This approach is known to generated low credit spreads for corporate bonds close to maturity. It requires a judicious specification of the default barrier in order to get a good fit to the observed spread curves.
文摘With the accelerated development of population aging, the pressure to pay for the future pension fund in our country is increasing. Affected by many factors, such as investment limits, inflation and interest rate cut, the rate of return on investment is very low. The introduction of the new policy allows the basic pension fund to enter the capital market, which is of great significance to improve the rate of return on investment, ease the pressure of capital gap, and promote the healthy development of the capital market. This paper makes a deep analysis of the rationality of the basic endowment insurance fund entering the market, and then puts forward some suggestions to avoid the risk of the pension market.
