信用风险模型综述.docVIP

PAGE PAGE 12 第二章 信用风险模型综述 Chapter Two Credit Risk Model ReviewOverview 因本文的研究工作主要集中在可违约债券期限结构模型，故本章的重点在于可违约债券期限结构模型的综述。其他信用风险模型，因为有两类在本论文有所涉及，所以也将对其作简单综述，即信用评分模型和实业界的信用风险管理模型。 This dissertation focuses on the default-able bond term structure model, therefore the overview of the default-able bond term structure model is the main point of this chapter, the other two credit risk modelscredit scoring model and credit VaR model, which are mentioned in the dissertation, are also overviewed . 第一节 可违约债券期限结构模型 Section1 The Default-able Bond Term Structure Model 可违约债券期限结构模型的研究对象是在资本市场交易的可违约债券，研究对象的可交易特性要求模型必须考虑两种风险：信用违约风险和信用利差风险。可违约债券期限结构模型可以分成两类：1) 结构模型(Structural Model)，或者也可以称为公司价值模型(Firm Value Model)。2)强度模型(Intensity Model)，或者也可以称为简约模型（Reduced Form Model）。本节将对这两个流派的模型作详细地介绍和分析。总的来说，无论那一类模型，都包括了违约(default)过程、 回收(recovery)过程和利率过程。 The study object of the default-able bond term structure model is the default-able bond which is traded in the capital market, so the model should handle consider two risks: credit default risk and credit spread risk. The default-able bond term structure model can be divided into two categories: 1) Structural Model, i.e.or Firm value model; 2) Intensity Model, i.e.or reduced form model. This section will introduce and analyze the two model categories in detail. In summaryTo sum up, in any of the models, there are default process, recovery process and interest rate process. 违约过程：对这个过程的认识，不同类型的模型差别较大。结构模型假定资产符合某种随机过程，当资产到达某个阀值时便认为违约发生，违约率是内生的；而强度模型假定违约过程是一个具有某个违约强度的跳变过程，违约率是外生的。当然，两者之间有着本质上的联系，有些文献就把违约强度看成是资产的函数，如王莉君等(2003)。 The default process is quite different in different models. The structural model supposes that the asset value follows some stochastic process, when the asset value reaches a certain cutoff,threshold the default probability is triggered, so the default is endogenetic. The intensity model supposes that the default process is a jump process with a certain default intensity, so the default probability is ectogenic. Of course,