The Role of Jump Factor in Default Risk of Listed Company in China

摘要：

Some advanced structural models of default risk have introduced jump component to reflect the abnormal jump risk,but most of them take use of the credit spread,credit default swap(CDS) spread or option price in empirical research. However,the finance derivative market and the bond market in China are undergoing very limited development,which makes it impossible to use the credit spread or CDS spread to analyze the jump risk. Therefore,combining the Option Pricing Theory with Poisson jump-diffusion model,this paper uses stock market data to indirectly describe the evolution of asset value with jump risk. After comparing with the pure diffusion model,we find out that the latter neglects the impact of jump risk and thus underestimates or overestimates the actual default probability to some extent.

关键词： jump-diffusion asset value default risk

作者: Ran Huang Qiming Tang

作者单位: School of Economics HuaZhong University of Science and Technology Wuhan,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 395-398

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）