信贷预警模型以及信用违约掉期修正定价对模型的动态影响

发布时间：2018-02-17 05:12

本文关键词： 信贷预警模型信用评级区域行业 CDS价格基准指标区域指标指针指标 CDS定价动态修正　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文主要研究的是利用公司相关信息建立一套信贷预警模型。由于公司的信用评级变化慢无法及时反映公司的信用风险变化，本文通过建立信贷预警模型对公司的信用风险程度进行及时监控反馈。主要内容为以下两部分。一是利用公司的信用评级，所在区域，所属行业和CDS即时价格等信息将公司进行分类讨论。通过对模型的对数正态性假设与检验后，，建立三个相应模型指标：基准指标，区域指标和指针指标。这三个指标即作为公司的新的信用风险程度指标。二是在模型一的基础上进行推广,将CDS价格进行动态修正。本文中CDS的动态定价公式基于强度信用违约过程的框架，引入一个扩散过程驱动的利率因子，得到CDS价格的解析解。通过对CDS价格走势的预测进而对公司的信用风险走势预测。
[Abstract]:The main research of this paper is to establish a set of early warning model of credit use related information. Due to the company's credit rating changes slowly to reflect changes in the credit risk of the company in a timely manner, through the establishment of credit early-warning model of credit risk degree, timely monitoring and feedback. The main contents include two parts.
One is to use the company's credit rating, region, industry and CDS instant price information company classification discussion. Through the log normality assumption of the model and test, establish three corresponding model index benchmark, regional index and pointer. These three indexes as the company's new the credit risk index.
The two is based on a model in the promotion, CDS price adjusted formula. In this paper CDS dynamic pricing framework strength credit default process based on the interest rate factor into a diffusion process driven, analytical solutions are obtained. The CDS price forecast by the CDS price of the company's credit risk trend forecast.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

【共引文献】