企业信息不完全情况下的首次通过违约概率模型

摘要

基于Merton的结构化模型,利用几何布朗运动理论建立了不完全信息条件下的企业首次通过违约概率模型.根据企业的财务报表及信用记录,提出了一种新的不完全信息假设;在模型上引入股票的流通性价值,并改进其基于Merton模型的度量方法,使其适用于首次通过模型并求得内生违约边界,利用此边界给出了不完全信息条件下的企业违约概率,并分析了股票流通价值和股价与企业资产的相关关系对违约概率的影响.%This paper establish a first passage time model based on the Merton's structural model by using the method of geometric Brownian motion.In this paper,we consider the accounting noise and historical default record and then introduce a new incomplete information hypothesis.Besides,we introduce the stock's liquidity value into the model,and apply its method measurement which based on Merton's structural model to the first passage time model to obtain the endogenous default boundary.Based on the incomplete information,the conditional default probability is derived by using the default boundary.And at the last of this passage,we analysis the effect of the correlation between stock's price and company assets on the default probability.