关于公司债违约传染研究
发布时间：2018-12-30 10:16
【摘要】：文章应用双参数威布尔分布推广了指数分布条件下的Schonbucher违约传染模型,并引入了信任度调整系数。最后分析了不同信息条件下公司的生存概率与违约危险率。
[Abstract]:In this paper, the two-parameter Weibull distribution is used to generalize the Schonbucher default contagion model under the condition of exponential distribution, and the confidence adjustment coefficient is introduced. Finally, the survival probability and default risk rate of the company under different information conditions are analyzed.
【作者单位】： 暨南大学经济学院金融系金融研究所;
【基金】：国家社科基金资助项目(07BGJ007)
【分类号】：F832.51
，
本文编号：2395433
[Abstract]:In this paper, the two-parameter Weibull distribution is used to generalize the Schonbucher default contagion model under the condition of exponential distribution, and the confidence adjustment coefficient is introduced. Finally, the survival probability and default risk rate of the company under different information conditions are analyzed.
【作者单位】： 暨南大学经济学院金融系金融研究所;
【基金】：国家社科基金资助项目(07BGJ007)
【分类号】：F832.51
，
本文编号：2395433
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