| 非上市公司信用风险的期权定价模型研究 |
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| 引用本文： | 王健,王海生.非上市公司信用风险的期权定价模型研究[J].特区经济,2007,216(1):110-111. |
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| 作者姓名： | 王健 王海生 |
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| 作者单位： | 同济大学,经济与管理学院,上海,200433 |
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| 摘 要： | 近年来,运用基于期权定价理论的KMV模型测度上市公司的信用风险得到了广泛的应用。但对于非上市公司市场价值V0和波动率σv的估测是非常困难的。PFM模型给出了估计非上市公司市场价值V0和波动率σv的方法。然后针对我国的非上市公司对模型进行了修正并进行了评价。
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| 关 键 词： | PFM模型 KMV模型 非上市公司 信用风险 |
Non listed company credit risk's future option pricing model research |
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| Wang Jian,Wang Hai Sheng.Non listed company credit risk''''s future option pricing model research[J].Special Zone Economy,2007,216(1):110-111. |
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| Authors: | Wang Jian Wang Hai Sheng |
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| Abstract: | The method that uses KMV model based on option pricing theory to mea sure the credit risk of listed company has been widely applied in recently years.But it is difficult to estimate the volatility of V0 and theσv of the non-li sted companies.PFM model offer a method to find the two unknowns:V0 andσv.Th is paper deduces the PFM model and make a comment on it. |
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| Keywords: | PFM model KMV model Non -listed companies credit risk |
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