基于CCA模型的信用风险定价分析与实证研究

信用风险一直是银行和其他金融机构关心的主要话题。对待信用风险的传统方法是由信用风险部门根据过去的数据进行统计估计。然而,在最近几年,随着金融市场的迅速发展以及金融工具的日益复杂化,这种方法已经显得无法适应了。从最广义的风险说起,把讨论范围逐渐缩小,最后缩小至信用风险的定价问题。通过Merton模型对信用风险定价过程作一般性推导,同时给出一个例子以便掌握运用这种方法。

To Analyse and Empiric Study on Pricing of Credit Risk Based on Model CCA

Credit risk is the main topic of concern of the banks and other financial institutions. Credit Risk treated by the traditional methods of credit risk departments is based on the past data for statistical estimation. However, in recent years, with the rapid development of financial markets and the increasing complexity of financial instruments, this method is not available any longer. From the most generalized risk mentions, gradually narrow the scope of the discussion, and then come to the final pricing of the credit risk, Merton model through the pricing of credit risk to the general process is derived. At the same time an example is given to make understanding and applying of this approach much better.