信息不完全的信用风险定价模型及其在我国的应用

基于信息不完全的信用风险定价模型与传统的结构化模型和约化模型的最大区别在于它将信息不完全这一前提引入了以信息完全为前提的结构化模型,同时它又考虑了约化模型中强度的优点,引入短期信用风险的度量,成为当前最切合现实的信用风险定价模型。本文认为,应用基于信息不完全的信用风险定价模型来测度信用风险,将具有十分重要的现实意义。

The Incomplete Information Credit Risk Model and Its Application in China

The incomplete information credit risk model is different from the traditional structural credit models and the reduced-form credit models. The greatest distinction is that it induces the premise of incomplete information in the complete information credit models and the default intensity to predict the short-term credit risk, which is the closest way to the real pricing models of credit risk at present. We believe it is significant to use the incomplete information credit models to measure the credit risk under such bad information quality conditions.