標題: 隨機利率下信用風險之衡量—使用創新之立體樹狀模型
A Novel Lattice Model for Credit Risk Measurement with Stochastic Interest Rate
作者: 鍾明璋
Ming-Chang Chung
王克陸
戴天時
Keh-Luh Wang
Tian-Shyr Dai
財務金融研究所
關鍵字: 信用風險;隨機利率;結構式模型;首次通過模型;二因子樹狀模型;Credit Risk;Stochastic Interest Rate;Structure Model;First Passage Model;Two-factor Tree Model
公開日期: 2007
摘要: 本文嘗試延伸結構式首次通過模型,提出一個創新的資產與利率變動的立體樹狀模型(EDFPM),運用於信用風險的討論。EDFPM以離散方式檢視公司信用風險狀況,立即反應因公司償還負債所面臨的風險,並視實際狀況調整違約門檻,模型多加模擬利率變動以探討不同類型金融機構資產,利率,信用風險相互關係。
This thesis suggests a novel two-dimensional lattice tree model “EDFPM” that extends the first passage model—one of the structural model for pricing credit risk. EDFPM monitors firm value discretely, simulates asset value jumps due to loan repayment, and sets the varying barriers for the change of firm’s debt structure. In addition, the model can simulates the stochastic interest and discuss the influence of stochastic interest rates and its correlation with firm’s value to the credit risk management.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009539526
http://hdl.handle.net/11536/39372
Appears in Collections:Thesis


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