上市公司的默顿违约风险模型

arXiv - QuantFin - Risk Management Pub Date : 2024-06-26 DOI:arxiv-2406.18121

Battulga Gankhuu

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引用次数: 0

摘要

本文假定上市公司的负债是可观察到的，并利用坎贝尔和席勒的近似方法，建立了上市公司的默顿结构模型，得到了上市公司的风险中性权益值、负债值和违约概率的公式。此外，本文还提供了建议模型参数的 ML 估计数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Merton's Default Risk Model for Public Company

In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's approximation method, we obtain formulas of risk-neutral equity and liability values and default probabilities for the public companies. Also, the paper provides ML estimators of suggested model's parameters.

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arXiv - QuantFin - Risk Management

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