简式模型（reduced form models）以基础股票价格为基本变量，推导出转债价值。这两种模型按照其包含的影响转债价值的因素数量不同，又分为单因素模型和多因素模型...
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关键词] 信用风险;简约模型;新巴塞尔协议 [gap=6557]Key words: credit risk; reduced form models; new Basel accords ...
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...信用风险模型,包括结构模型(Structural Models)和简化模型(Reduced Form Models)。结构模型,认为违约是由公司的资产、负债和违约方式所决定的,根据期权定价原理研究违约行为的动因和分布,进而计量信用风险。
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While the reduced form models may be universally applied in many fields of default risk valuation, the game …
与现实经济环境更为接近的博弈模型是需进一步研究的重点。
Based on analyzing the main characters of the revolver loan and reduced form models, the modeling idea about pricing the revolver loan is presented by applying reduced form model.
在分析循环贷款和简化模型主要特征的基础上，提出了应用简化模型解决循环贷款定价问题的建模思想。
After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model.
在此基础上，探讨了将随机利率与信用风险相结合的信用风险定价模型——结构模型和简约模型。
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