宏观经济波动与信用风险:结构模型  

Macroeconomy Fluctuation and Credit Risk: Structural Model

作　　者：孙连友[1] 胡海鸥[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《财经理论与实践》2005年第1期31-34,共4页The Theory and Practice of Finance and Economics

摘　　要：信用风险与宏观经济周期性波动之间的关系大致上可归纳为两种典型情况。但实践中无论是商业银行还是监管者都没有走向这两种极端情形。通过将宏观经济周期性波动考虑到模型中去 。During the past two decades, many countries have encountered a severe financial crisis and macroeconomy recession after experiencing a process of fast economy growth, credit boom and fast rising of asset price. Based on these phenomena, this paper gives an observation of the relationships between credit risk and macroeconomy. Then it gives a detailed analysis on what is a structural model of credit risk measurment and how the macroeconomy fluctuation is incorporated into the model. At last, it gives an evaluation of it's efficency and challenges.

关 键 词：信用风险 亲周期性 违约概率 结构模型 

分 类 号：F830.9[经济管理—金融学]