EDF模型度量信用衍生工具的信用风险研究  

Measuring the Credit Risk of the Credit Derivative with EDF Model

作　　者：刘宇新[1] 魏灿秋[1] 

机构地区：[1]四川大学工商管理学院,成都610064

出　　处：《四川大学学报（自然科学版）》2003年第4期695-699,共5页Journal of Sichuan University(Natural Science Edition)

摘　　要：在分析违约条件及支付函数的基础上,借助KMV公司的EDF模型,建立了用于预测信用衍生工具联合违约概率的方法,并用此法分析了信用衍生工具对我国商业银行风险管理的意义.Based on the hypothesis of the default conditions and the analysis of the payoff functions, authors construct a new model to predict the united default frequency of the credit derivatives. Furthermore, the authors applies the new model to the analysis of the credit derivatives to the risk management of the business banks in China. 

关 键 词：信用衍生工具 预期联合违约概率 EDF模型 

分 类 号：F830[经济管理—金融学]