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| 引用本文： | ������,���ܸ�. ��ҵ��Ϣ����ȫ����µ��״�ͨ��ΥԼ����ģ��[J]. 应用概率统计, 2017, 34(3): 247-256. DOI: 10.3969/j.issn.1001-4268.2017.03.003 |
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| 作者姓名： | ������ ���ܸ� |
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| 作者单位： | ????????????????? |
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| 摘 要： |
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| 关 键 词： | ??????? ???????? Υ????? ????????? Υ???? |
The Study of Default Probability under Incomplete Information Based on Structural Model |
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| LI XiuQiong,CHEN ShaoGang. The Study of Default Probability under Incomplete Information Based on Structural Model[J]. Chinese Journal of Applied Probability and Statisties, 2017, 34(3): 247-256. DOI: 10.3969/j.issn.1001-4268.2017.03.003 |
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| Authors: | LI XiuQiong CHEN ShaoGang |
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| Affiliation: | School of Mathematical Sciences, University of Electronic Science and Technology of China |
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| Abstract: | This paper establish a first passage time model basedon the Merton's structural model by using the method of geometric Brownianmotion. In this paper, we consider the accounting noise and historical defaultrecord and then introduce a new incomplete information hypothesis. Besides,we introduce the stock's liquidity value into the model, and apply its methodmeasurement which based on Merton's structural model to the first passagetime model to obtain the endogenous default boundary. Based on the incompleteinformation, the conditional default probability is derived by using thedefault boundary. And at the last of this passage, we analysis the effectof the correlation between stock's price and company assets on the defaultprobability. |
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| Keywords: | structural model incomplete information default probability first passage time model default boundary |
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