학회소식
[2012년 제 4차] Business Cycle and Credit Risk Modeling with Jump R
작성자 : 관리자
조회수 : 797
게시일 :
2012-12-12
We develop a structural model incorporated with both macroeconomic risks and jump risks. We provide the analytic formulas for the default probability, the equity price and the CDS spreads and show that combination between the two assists better explanation for credit risks in the real world. Based on the actually calibrated parameters of individual rms, we nd that there is an evidence for existence of fundamental macro factors and that the default probability can be dependent on the current economic state. Moreover, our model could better predict the default probability and overcome the underestimation of credit risks especially for the high credit rated rms, which has always been one of the major limitations for the structural models.
