【摘要】：文章應(yīng)用雙參數(shù)威布爾分布推廣了指數(shù)分布條件下的Schonbucher違約傳染模型,并引入了信任度調(diào)整系數(shù)。最后分析了不同信息條件下公司的生存概率與違約危險率。
[Abstract]:In this paper, the two-parameter Weibull distribution is used to generalize the Schonbucher default contagion model under the condition of exponential distribution, and the confidence adjustment coefficient is introduced. Finally, the survival probability and default risk rate of the company under different information conditions are analyzed.
【作者單位】： 暨南大學(xué)經(jīng)濟(jì)學(xué)院金融系金融研究所;
【基金】：國家社科基金資助項目(07BGJ007)
【分類號】：F832.51
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本文編號：2395433