...约,且具有正的违约概率,这种瞬间违约的可 能性通常被称为违约风险率(Hazard Rate ofDefault)或违约强度(Default Intensity),因此,简约型模型有时也被称为违约风险率模型或违约强度模型。实 质上,简约模型是将违约看作是由强度过程决定的随机事件。
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Also, this dissertation propose a method that using credit rating information to estimatestatic default intensity.
其中,提出了利用信用评级信息估计静态违约强度的一种方法。
参考来源 - 企业集团成员企业的违约相关性与信用风险度量研究·2,447,543篇论文数据,部分数据来源于NoteExpress
根据产品不同的架构和设计条款,每种产品对违约强度、违约相关性等变量的敏感性是不尽相同的。
According to the different structures and design, each product has its unique sensitivity to the factors like default intensity and default correlation.
随后进行模型的比较,假设违约强度为常数,对无担保的企业债进行分析,比较两个模型的估计误差。
And then, I compare the default intensity of two classes of bond, and compare the model efficiency of the model I use in this paper with that of a simple model.
构建有效的信用违约互换定价模型是信用违约互换研究的核心,而基于强度模型的信用违约互换定价模型研究是目前研究方向的主流。
The credit default swap pricing model is the core of the credit default swap research, and particularly the pricing model based on a reduced form model is the mainstream in current studies.
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