An Empirical Research of Probability of Default Measure Model Based on Chinese Stock Market High Frequency Data

摘要：

This paper introduce the option theory BlackScholesMerton option pricing model KMV model into the measure of default risk make full use of market information and historical data on the base of modern corporate finance and option pricing theory this paper made the “transplant treatment. Experimental results show that KMV model can serve as an ideal measuring instrument in the default risk what more KMV model based on option pricing is completely feasible to default risk measuring in chances commercial bank.

关键词： StockMarketHighFrequencyData ProbabilityofDefault MeasureModel

作者: Ma Ruowei Bai Yukun

作者单位: School of Economics Beijing Technology and Business University Beijing China School of Economics Beijing Technology and Business UniversityBeijing China

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-4

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）