基于信用转移矩阵的违约概率和风险溢价计算

doi:10.3696/j.issn.1672-6952.2015.04.015

辽宁石油化工大学学报 ›› 2015, Vol. 35 ›› Issue (4): 66-69,80.DOI: 10.3696/j.issn.1672-6952.2015.04.015

基于信用转移矩阵的违约概率和风险溢价计算

姜凤利

( 辽宁石油化工大学理学院, 辽宁抚顺1 1 3 0 0 1)

出版日期:2015-08-25 发布日期:2015-08-14
作者简介:姜凤利( 1 9 8 0 - ) , 男, 博士, 讲师, 从事金融时间序列、金融风险管理等研究; E - m a i l : j f l _0 0 1@1 6 3. c o m
基金资助:
辽宁省教育厅一般项目( L 2 0 1 2 1 3 1) 。

The Calculation of the Default Probability and the Risk Premium Based on the Credit Transfer Matrix

Jiang Fengli

(School of Science，Liaoning Shihua University，Fushun Liaoning 113001，China)

Published:2015-08-25 Online:2015-08-14

摘要/Abstract

摘要： 信用评级是对个人、经济体和金融工具履行各种经济承诺能力及可信任程度的综合评价。信用评级的主要功能在于揭示信用风险, 它在提高金融市场效率方面具有不可替代的作用, 准确的信用评级对国家金融和经济安全具有重要意义。根据信用评级转移矩阵研究了不同信用评级和到期期限的证券发行人的违约概率, 并进一步研究了信用评级、到期期限和违约概率与风险溢价的关系。

关键词: 信用风险, 信用评级, 转移矩阵, 违约概率, 风险溢价

Abstract: Credit rating is a comprehensive evaluation of the capability and the integrity of fulfilling economic commitments for the individual, the economy and financial instrument. The main function of credit rating lies in the credit risks revealment, which plays an irreplaceable role in increasing the efficiency of financial market. It is of great significance for the security of national finance and economy to have a proper credit rating. Different levels and time of default probability will be studied in this paper, which also includes further discussion on the risk premium and associated dependencies.

Key words: Credit risk, Credit rating, Transfer matrix, Default probability, Risk premium

姜凤利. 基于信用转移矩阵的违约概率和风险溢价计算[J]. 辽宁石油化工大学学报, 2015, 35(4): 66-69,80.

Jiang Fengli. The Calculation of the Default Probability and the Risk Premium Based on the Credit Transfer Matrix[J]. Journal of Liaoning Petrochemical University, 2015, 35(4): 66-69,80.

基于信用转移矩阵的违约概率和风险溢价计算

The Calculation of the Default Probability and the Risk Premium Based on the Credit Transfer Matrix

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