公司债券违约率的结构化模型研究  

A Study of the Structural Model of Corporate Bond's Default Probability

作　　者：康伟刚[1] 

机构地区：[1]武汉大学数学与统计学院,湖北武汉430072

出　　处：《系统工程》2004年第9期46-53,共8页Systems Engineering

摘　　要：采用期权定价和违约率函数的结构化处理方法建立估计公司债券违约率的模型,应用美国国内公司的整体数据给出了将模型具体化的处理方法,得到一个带马尔可夫链的违约率函数。根据实证数据的初步检验,该函数的拟合效果比较理想,可用于估计一般性上市公司群体的债券违约率。文中的处理方法具有良好的可行性,只要拥有模型必需的股权价值、债务价值和违约率的数据,就能按照该方法将模型具体化,拟合出违约率函数,并由此来估计公司债券的违约率。We derive a structural model for estimating the default probability of corporate bond in terms of the structural (method,) and the final default-probability-function is data sensitive. By using data from the whole U.S. corporate we (provide) a default-probability-function with Markov chain, and the fitting effectiveness of the function is very satisfactory. The result of the data processing and the fitting effectiveness of default-probability-function has proved the feasibility and (reasonability) of model. Only if the required data is available, the problem of default probability estimation is just matter of calculation by applying the model and processing method we provided.

关 键 词：信用风险 债券违约率函数 期权定价公式 违约距离 马尔可夫链 

分 类 号：F830[经济管理—金融学]