| 基于相依违约的上市公司担保风险度量研究 |
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| 引用本文： | 张根明,李俊民,谭齐.基于相依违约的上市公司担保风险度量研究[J].事业财会,2011(4). |
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| 作者姓名： | 张根明 李俊民 谭齐 |
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| 作者单位： | 中南大学商学院;中南大学; |
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| 摘 要： | 本文运用基于相依违约的混合模型度量上市公司担保风险,并进行了实证研究。结果表明:此模型能很好的预测上市公司对外担保的违约概率,可对上市公司信用进行评级;在敏感性分析中,违约概率对波动率、无风险利率和相依结构比较敏感,这能为风险管理提供一定的参考。
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| 关 键 词： | 担保风险 上市公司 相依违约 Copula 混合模型 |
The Study on Guarantee Risk of Listed Companies Based on Correlated Defaults |
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| Authors: | ZHANG Gen-ming LI Jun-min TAN Qi School of Business Central South University Changsha |
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| Institution: | ZHANG Gen-ming,LI Jun-min,TAN Qi School of Business,Central South University,Changsha 410083 |
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| Abstract: | This article uses the hybrid model based on correlated defaults to measure guarantee risk of listed companies.The result indicates that this model can predict the default probabilities of listed companies secured well,and the credit rating can be done according to the results.In the sensitivity analysis,it can be found that the default probabilities are sensitive to volatility,risk-free interest rate and correlated structure.This can provide a reference for banks and investors to make risk management. |
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| Keywords: | Guarantee Risk Listed Companies Correlated Defaults Copula Hybrid Models |
| 本文献已被 CNKI 等数据库收录！ |
