关键词] 信用风险;简约模型;新巴塞尔协议 [gap=6557]Key words: credit risk; reduced form models; new Basel accords ...
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简约式模型 Reduced-form model
It removes some unreasonable hypothesizes of structural model and reduced form model and considers that companies have default trend at all times which depends on default rate, not only on the maturity.
它摒弃了在此之前的结构模型和简约模型的一些不完全合理的假设条件,认为公司并非只有在债券到期日才会发生违约,而是认为公司在任何时候都存在违约的倾向,这个倾向取决于违约概率的大小。
参考来源 - 企业债券违约风险研究 （研究生论文）·2,447,543篇论文数据，部分数据来源于NoteExpress
在此基础上，探讨了将随机利率与信用风险相结合的信用风险定价模型——结构模型和简约模型。
After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model.
也有人建议了一个构建信任氛围的“简约而不简单”的模型。
While this reporter suggested a "simple but not easy" model for building trust.
主要研究内容如下：（1）基于单项式容积法和混沌多项式展开，构造了简约配点响应面模型。
The main research content is as follows:(1) Reduced collocation response surface model (RCRSM) is constructed using polynomial chaos expansion (PCE) with points of monomial cubature rule (MCR).
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