湖南文理学院学报（自然科学版）
湖南文理學院學報（自然科學版）
호남문이학원학보（자연과학판）
JOURNAL OF HUNAN UNIVERSITY OF ARTS AND SCIENCE(SCIENCE AND TECHNOLOGY)
2015年
2期
35-38
,共4页
信用价差%KMV模型%期权定价理论
信用價差%KMV模型%期權定價理論
신용개차%KMV모형%기권정개이론
credit spread%KMV Model%option pricing theory
从衡量信用风险的主要工具信用价差的度量作为切入点，分别利用期权定价和 KMV 理论建立了信用价差度量的2种模型，并基于诸暨债数据，实证评估了其信用价差。研究结果表明，短期内KMV模型度量信用价差更合适，长期这2种方法都趋近于真实数据，模型可为理性的投资决策提供信息，对刻画公司信用风险发挥积极作用。
從衡量信用風險的主要工具信用價差的度量作為切入點，分彆利用期權定價和 KMV 理論建立瞭信用價差度量的2種模型，併基于諸暨債數據，實證評估瞭其信用價差。研究結果錶明，短期內KMV模型度量信用價差更閤適，長期這2種方法都趨近于真實數據，模型可為理性的投資決策提供信息，對刻畫公司信用風險髮揮積極作用。
종형량신용풍험적주요공구신용개차적도량작위절입점，분별이용기권정개화 KMV 이론건립료신용개차도량적2충모형，병기우제기채수거，실증평고료기신용개차。연구결과표명，단기내KMV모형도량신용개차경합괄，장기저2충방법도추근우진실수거，모형가위이성적투자결책제공신식，대각화공사신용풍험발휘적겁작용。
Taking the evaluation of credit spreads as a breakthrough point which is the main content for assessment of credit risk, two measure models are built by Option Pricing Theory and KMV theory respectively, credit spreads of Zhuji debt are studied based on its actual data. The results show that the KMV model to measure the credit spread is more appropriate in short-term. But in the long term these two methods are both close to the real data. These models provide the essential information to make the right investment decisions and played positive effects for the evaluation of credit risk.
