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基于跳跃扩散过程的KMV模型

发表时间:2010-01-15  浏览量:1665  下载量:604
全部作者: 蔡燕斯,高智民
作者单位: 韩山师范学院教务处;深圳大学数学与计算科学学院
摘 要: 研究了金融市场中信用风险的度量,介绍了KMV模型,利用Black-Scholes定价理论,将期权定价模型应用到信用风险的度量中,定义违约点得到违约距离和预期违约率。在此基础上,对公司资产价值引入跳跃扩散过程,利用无套利原理,对KMV模型进行推广,得到相应的违约距离和预期违约率。最后结合我国的实际情况,分析KMV模型在我国的适用性,发展适合我国的信用风险度量模型。
关 键 词: 应用数学;KMV模型;Black-Scholes定价理论;跳跃扩散过程
Title: The KMV model when the asset prices follow a jump-diffusion process
Author: CAI Yansi, GAO Zhimin
Organization: Dean’s Office, Hanshan Normal University;College of Mathematics and Computational Science, Shenzhen University
Abstract: This paper researched on credit risk measurement models, introduced the KMV model; made use of the Black-Scholes formula to apply the option pricing model in the measurement of credit risk, defined the default point, and gained the dis tan ce to default and expected default frequency. On this basis, the paper imported the jump-diffusion process to the value of the assets, using arbitrage-free principle, generalized the KMV model, and gained the corresponding dis tan ce to default and expected default frequency. At last, it summarized the adaptability of the KMV model in China based on the specific conditions in which, and developed one credit risk model, which is adapt to China.
Key words: applied mathematics; KMV model; Black-Scholes formula; jump-diffusion process
发表期数: 2010年1月第1期
引用格式: 蔡燕斯,高智民. 基于跳跃扩散过程的KMV模型[J]. 中国科技论文在线精品论文,2010,3(1):53-57.
 
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