摘要
以期权定价模型为基础,运用平滑粘贴条件求解了变方差条件下的负债价值及违约概率.研究表明方差不变条件下获得的违约概率低于变方差条件下的违约概率.随着无风险收益率的上升,债务违约概率将会减小,这说明政府降低利息率可能会导致银行不良资产比率上升.
Based on the option pricing model, the paper uses smooth pasting to evaluate the debt value and probability of default under the condition of mutative variance. The conclusion are that the probability of default under conditions of invariable variance is less than under mutative variance. Furthermore, the probability of default will decrease with the risk-free rate, which means that the reduction of interest may lead to the rise of non-performing asset ratio.
出处
《系统工程学报》
CSCD
北大核心
2012年第5期633-640,共8页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70801043
71271123)
国家社会科学基金资助项目(10CGL042)
关键词
变方差
信用风险
负债价值
mutative variance
credit risk
value of debt
