(使用股票价格计算违约机率).pptVIP

20081017 paper report R96072 黃源鱗 20.6 Using Equity Prices to Estimate Default Probabilities(使用股票價格計算違約機率) More up-to-date The value of the equity at time T as ET = max(VT-D,0) This show that the equity is a call option So the Black-Scholes formula gives the value of the equity today as E0=V0N(d1) - De-rTN(d2) ---- (20.3) where d1= ln(V0/D)+(r+σv2/2)T σv√T d2= d1 - σv√T The risk-neutral default probability is N(-d2) (seems N (d2) like the live probability (當VTD)) To caculate N(-d2), we need V0 , σ0 but we only know σE 、E0 and equation(20.3) From Ito’s Lemma , we