标题: 随机利率下信用风险之衡量—使用创新之立体树狀模型
A Novel Lattice Model for Credit Risk Measurement with Stochastic Interest Rate
作者: 钟明璋
Ming-Chang Chung
王克陸
戴天时
Keh-Luh Wang
Tian-Shyr Dai
财务金融研究所
关键字: 信用风险;随机利率;结构式模型;首次通过模型;二因子树狀模型;Credit Risk;Stochastic Interest Rate;Structure Model;First Passage Model;Two-factor Tree Model
公开日期: 2007
摘要: 本文尝试延伸结构式首次通过模型,提出一个创新的资产与利率变动的立体树狀模型(EDFPM),运用于信用风险的讨論。EDFPM以離散方式检视公司信用风险狀况,立即反应因公司偿还负债所面臨的风险,并视实际狀况调整违约门槛,模型多加模拟利率变动以探讨不同類型金融机构资产,利率,信用风险相互关系。
This thesis suggests a novel two-dimensional lattice tree model “EDFPM” that extends the first passage model—one of the structural model for pricing credit risk. EDFPM monitors firm value discretely, simulates asset value jumps due to loan repayment, and sets the varying barriers for the change of firm’s debt structure. In addition, the model can simulates the stochastic interest and discuss the influence of stochastic interest rates and its correlation with firm’s value to the credit risk management.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009539526
http://hdl.handle.net/11536/39372
显示于类别:Thesis


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