摘要
在分析违约条件及支付函数的基础上,借助KMV公司的EDF模型,建立了用于预测信用衍生工具联合违约概率的方法,并用此法分析了信用衍生工具对我国商业银行风险管理的意义.
Based on the hypothesis of the default conditions and the analysis of the payoff functions, authors construct a new model to predict the united default frequency of the credit derivatives. Furthermore, the authors applies the new model to the analysis of the credit derivatives to the risk management of the business banks in China.
出处
《四川大学学报（自然科学版）》
CAS
CSCD
北大核心
2003年第4期695-699,共5页
Journal of Sichuan University(Natural Science Edition)
