中国上市公司违约风险的测度与分析——跳—扩散模型的应用  

Jump-Diffusion Model Based on Default Risk Measurement and Analysis for Listed Company in China

作　　者：唐齐鸣[1] 黄苒[1] 

机构地区：[1]华中科技大学经济学院

出　　处：《数量经济技术经济研究》2010年第10期101-115,共15页Journal of Quantitative & Technological Economics

基　　金：教育部“国际金融危机应对研究”应急课题(课题批准号:2009JYJR059);北京大学汇丰金融研究院2009年课题研究资助

摘　　要：违约分析的结构方法大多选择纯扩散过程描述股票和资产价值变化,不能反映突发信息引起的异常跳跃。违约度量的理论研究虽有考虑跳跃,却多基于假设参数和蒙特卡洛模拟。由于资产价值变化难以直接观测,所以无法在实证中验证相关理论。本文则在结构模型中引入跳跃,以期权定价为基础,运用市场数据分析带跳的资产价值变化,并与纯扩散模型进行比较,发现后者不能反映跳风险对整体风险的影响,从而在某些情况下高估或低估了实际违约率。Most of the structural methods choose pure diffusion model to describe the evolution process of stock price and asset value, but it can not reflect the sudden jump risk. On the other side, although many theoretical studies take the jump factor into consideration, most of them use the assumed parameters and Monte- Carlo Simulation to analyze the process. The defect is the related parameters can not be directly observed in practice, which makes it difficult to apply the theoretical results to empirical researches. Based on the option pricing theory and market data, this paper introduces the jump factor into the structural model to describe the evolution of asset value with jump risk. After comparing with the pure diffusion model, we find out that the latter neglects the impact of jump risk and thus underestimates or overestimates the actual default probability in some circum- stances.

关 键 词：跳一扩散 资产价值 违约风险 

分 类 号：F224.0[经济管理—国民经济]