CAJ | 학술논문

以 M erton 结构模型为基础，分析了含抵押资产组合的信用违约问题。研究表明，违约概率为非正态分布，它与门限值有非线性正向变动关系，与抵押资产组合值有非线性反向变动关系。到期期限相同，有资产抵押时违约概率小于无抵押时的违约概率。抵押资产组合初值增大时违约概率会变小，而资产相关性增大时违约概率会变大。标的和抵押资产的价值波动较小时，违约概率也较小，反之亦然。
이 M erton 결구모형위기출，분석료함저압자산조합적신용위약문제。연구표명，위약개솔위비정태분포，타여문한치유비선성정향변동관계，여저압자산조합치유비선성반향변동관계。도기기한상동，유자산저압시위약개솔소우무저압시적위약개솔。저압자산조합초치증대시위약개솔회변소，이자산상관성증대시위약개솔회변대。표적화저압자산적개치파동교소시，위약개솔야교소，반지역연。
B ased on the structural fram ew ork developed by M erton, w e discuss default of credit under the m ortgage portfolio.W e find thatthe probability ofdefaultis non-norm aldistribution m eanw hile ithas a positive nonlinearrelationship w ith threshold and a reverse nonlinearrelationship w ith the m ortgage portfolio.Ifw ith the sam e m aturity,the probability ofdefaultw ill be sm allerforcreditw ith m ortgage than creditunsecured.W ith the increased initialvalue ofm ortgage portfolio the probability of default w ill decrease, w hile w ith the increased correlation of asset the probability of default w ill increase. The sm aller the fluctuation underlying assetsand m ortgage assetsis,the sm allerthe probability ofdefaultis,and vice versa.