摘要
公司资本结构是影响贷款信用风险的基本因素,系统研究两者的关系对提高信用风险管理水平具有重要意义。首先在期权理论的基础上,建立了基于资本结构的信用风险度量模型。然后,从贷款违约概率和公司道德风险的角度,得出以下两个主要结论:①违约概率和公司资产负债率成正比;②在估计不会破产的情况下,公司进行资产置换(assetsubstitution)的动机随负债水平的提高而增强。最后,揭示了这些发现对银行信用风险管理的现实意义。
Company capital structure is one of the essential factors for loan credit risk. It is necessary to comprehensively study the relationship between the leverage and credit risk for the improvement of credit risk management. Firstly, according to the option theory, a credit risk model based on capital structure was formed. Then, two main conclusions about default probability and company moral hazard were brought forward： （1） the default probability had positive correlation to the ratio of asset to liability;（2） If the managers thought bankruptcy would not happened, their motivation of asset substitution would be boosted with the rise of debt/asset level. Finally, the practical values of these findings for the bank management of credit risk were highlighted.
出处
《北京理工大学学报（社会科学版）》
2007年第1期73-76,共4页
Journal of Beijing Institute of Technology：Social Sciences Edition
关键词
资本结构
信用风险
期权理论
capital structure
credit risk
option theory
