CAJ | 학술논문

违约分析的结构方法大多选择纯扩散过程描述股票和资产价值变化，不能反映突发信息引起的异常跳跃。违约度量的理论研究虽有考虑跳跃，却多基于假设参数和蒙特卡洛模拟。由于资产价值变化难以直接观测，所以无法在实证中验证相关理论。本文则在结构模型中引入跳跃，以期权定价为基础，运用市场数据分析带跳的资产价值变化，并与纯扩散模型进行比较，发现后者不能反映跳风险对整体风险的影响，从而在某些情况下高估或低估了实际违约率。
위약분석적결구방법대다선택순확산과정묘술고표화자산개치변화，불능반영돌발신식인기적이상도약。위약도량적이론연구수유고필도약，각다기우가설삼수화몽특잡락모의。유우자산개치변화난이직접관측，소이무법재실증중험증상관이론。본문칙재결구모형중인입도약，이기권정개위기출，운용시장수거분석대도적자산개치변화，병여순확산모형진행비교，발현후자불능반영도풍험대정체풍험적영향，종이재모사정황하고고혹저고료실제위약솔。
Most of the structural methods choose pure diffusion model to describe the evolution process of stock price and asset value, but it can not reflect the sudden jump risk. On the other side, although many theoretical studies take the jump factor into consideration, most of them use the assumed parameters and Monte- Carlo Simulation to analyze the process. The defect is the related parameters can not be directly observed in practice, which makes it difficult to apply the theoretical results to empirical researches. Based on the option pricing theory and market data, this paper introduces the jump factor into the structural model to describe the evolution of asset value with jump risk. After comparing with the pure diffusion model, we find out that the latter neglects the impact of jump risk and thus underestimates or overestimates the actual default probability in some circum- stances.