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dc.contributor.advisor林海
dc.contributor.author蔡艳菲
dc.date.accessioned2016-02-14T03:31:55Z
dc.date.available2016-02-14T03:31:55Z
dc.date.issued2008-09-26 16:16:14.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/40396
dc.description.abstract信用风险又称违约风险,是指由于参与交易的对手信用品质的不可预测而导致的损失,包括信用降级、无法支付债务和破产清算。随着企业债市场的快速发展,全球金融创新的不断加快,特别是美国次级住房抵押贷款债券市场危机的爆发,人们越来越认识到信用风险在资产定价及风险管理中占有重要的地位。虽然相对于欧美等成熟市场而言,我国债券市场还不发达,但现阶段我国资本市场发展迅速,这一领域的创新正不断涌现,所以研究信用风险对发展我国企业债市场有着重要的理论和现实意义。 本文在对结构化模型和简化模型进行比较之后,采用Duffie和Singleton的简化模型对有违约风险的债券进行定价。这样,有违约风险的债券就可以和无风险债...
dc.description.abstractCredit risk(also called default risk)refers to the loss due to the unexpected change of the counterparty’s credit quality, including credit downgrade, disability to repay, bankruptcy and liquidity. With the rapid development of corporate bond market and the global financial innovation, especially the breaking out of sub-prime crisis, the importance of credit risk in asset pricing and risk manageme...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=16589&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=17537
dc.subject信用风险
dc.subject简化模型
dc.subject违约强度
dc.subjectCredit Risk
dc.subjectReduced Form Model
dc.subjectIntensity Process
dc.title基于简化模型的企业债信用利差分析
dc.title.alternativeResearch on Credit Spread of Corporate Bond Based on Reduced Form Model
dc.typethesis
dc.date.replied2008-05-25
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院财政金融系_金融工程
dc.description.note学号:20051300983


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