Analysis of Credit Risk of Local Governments Bonds in China Based upon the Fuzzy Option Model

摘要：

This paper starts with the introduction of the situations under which local government bonds are allowed to issue from March 2009. Given the short of experience in managing and supervising the local bonds with an immature bond market, measure and estimation of the risks in the bond market appear to be issue of great concerns. Applying the fuzzy option model based on KMV method to calculate the relationship among issuing scale of local government bond, the default risk and the membership degree, the also try to find the way to foresee the credit risk and to guarantee a safe space for the local government bonds.

关键词： municipal bonds default risk fuzzy options

作者: Wang Peizhi Liu Xinying

作者单位: Shandong University of Finance Shungeng Road No. 40,Jinan, Shandong, China Shandong University of Finance Shungeng Road No. 40, Jinan, Shandong, China

会议类型: 国际会议

会议名称: The 2nd International Conference on Risk Analysis and Crisis Response(第二届风险分析与危机反应国际学术研讨会)

会议地点: 北京

会议语种:英文

页码: 199-204

在线出版日期: 2009-10-19（万方平台首次上网日期，不代表论文的发表时间）