KMV模型采用的“预期违约率”(Expected Default Frequency),是一种经验的违约率。KMV模型基本假设是当公司的资产价值低于一定水平时,公司就会违约。
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...的KMV 模型,该模型是以Merton 模型和风险中性原理为 基础,基于期权定价理论计算预期违约率(Expected Default Frequency, EDF),同其它模型 相比,该模型是通过企业的财务数据、企业资产回报波动率以及企业资产的当前市值来推 导预期...
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运用基于期权定价理论的KMV模型来得到公司的预期违约率和违约损失,从而能合理地确定贷款利率。
The KMV Model, which is based on Merton′s option pricing theory, is applied to get the expected default frequency and default loss of the loan.
上周汇丰承认他们在美国的高风险房贷业务违约率超过预期。
Last week HSBC admitted that its riskier American mortgage-holders were defaulting in unexpected Numbers.
如果增长率继续下降,希腊将无法实现财政收入目标,甚至会要求更多援助。市场走势表明,投资者预期希腊最终将会债务违约,很大程度上正是因为担忧上述恶性循环。
A further decline in growth could cause Greece to miss revenue targets and even seek more bailouts, which is largely why the market is pricing in the likelihood that Greece will eventually default.
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