摘要
本文运用基于相依违约的混合模型度量上市公司担保风险,并进行了实证研究。结果表明:此模型能很好的预测上市公司对外担保的违约概率,可对上市公司信用进行评级;在敏感性分析中,违约概率对波动率、无风险利率和相依结构比较敏感,这能为风险管理提供一定的参考。
This article uses the hybrid model based on correlated defaults to measure guarantee risk of listed companies. The result indicates that this model can predict the default probabilities of listed companies secured well, and the credit rating can be done according to the results. In the sensitivity analysis, it can be found that the default probabilities are sensitive to volatility, risk-free interest rate and correlated structure. This can provide a reference for banks and investors to make risk management.
出处
《财务与金融》
北大核心
2011年第4期65-70,共6页
Accounting and Finance
