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违约分析的结构方法大多选择纯扩散过程描述股票和资产价值变化,不能反映突发信息引起的异常跳跃。违约度量的理论研究虽有考虑跳跃,却多基于假设参数和蒙特卡洛模拟。由于资产价值变化难以直接观测,所以无法在实证中验证相关理论。本文则在结构模型中引入跳跃,以期权定价为基础,运用市场数据分析带跳的资产价值变化,并与纯扩散模型进行比较,发现后者不能反映跳风险对整体风险的影响,从而在某些情况下高估或低估了实际违约率。
Most of the structural methods of default analysis choose pure diffusion process to describe the changes of stock and asset value, which can not reflect the abnormal jump caused by the burst information. Although the theoretical study of default measurement has considered jumping, it is mostly based on hypothetical parameters and Monte Carlo simulation. Due to the changes in asset values difficult to directly observe, it is impossible to verify the relevant theory in the empirical. In this paper, we introduce the jump into the structural model. Based on the option pricing, we use the market data to analyze the change of the value of assets with jump, and compare with the pure diffusion model. We find that the latter can not reflect the impact of jump risk on the overall risk, In some cases, the actual default rate is overestimated or underestimated.