信用违约理论的演进及最新发展趋势  

Credit breach theory's evolution and its new development trend

作　　者：冯望舒[1] 沈阳[1] 

机构地区：[1]暨南大学经济学院金融系金融研究所,广东广州51063

出　　处：《特区经济》2010年第9期286-287,共2页Special Zone Economy

基　　金：国家社科基金(项目编号:07BGJ007)的阶段性研究成果

摘　　要：本文回顾了国际上信用理论及其违约风险预测与度量的主要研究阶段:基于期权定价理论的内生研究阶段、基于概率统计和鞅技术的外生研究阶段以及正在兴起的将期权理论和数理方法结合的滤波理论应用阶段。滤波理论在违约风险中的应用,从理论上看,它摆脱了传统期权学派的内生性假设和数理学派的外生性假设的局限;强调以市场价值作为研究基础;从方法上看,滤波估计方法可以很好地过滤噪音,处理信息,在可观测信息的基础上得到信用违约问题的最优估计。This paper gives a brief review of credit default theory and the main process of predicting and measuring the default risk—the internal process based on option pricing theory,external process based on probability statistics and martingale approaches and the applied stage of filtering theory which is a emerging theory combined with option theory and mathematical statistics methods.In theory,using filtration in default risk analysis emphasizes market value and shakes off the limitation of internality hypothesis and externality hypothesis.In methodology,the filtering theory performs well in noise filtering and information processing,and can help to get the optimal estimation of credit default problem on the basis of observable information.

关 键 词：信用违约 违约风险度量 滤波理论 

分 类 号：F830[经济管理—金融学]