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首页> 外文期刊>International journal of theoretical and applied finance >CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
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CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION

机译:误报和信息不全的信用风险建模

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摘要

We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expres_sions for the conditional default probability, recovery rate, and credit spread under the proposed credit risk framework. We propose a novel estimation approach to structural model estimation which accounts for noisy observed asset values. We apply the proposed method to calibrate a simple version of our model to the case of Parmalat and show that the model is able to recover a certain amount of misreporting during the years of accounting irregularities.
机译:我们为公司的违约证券估值提供了一种结构模型,该模型可以模型化公司内部人员故意进行的虚假报告而其他人没有观察到的结果。在拟议的信用风险框架下,我们得出了股票和债券价格的精确公式,以及条件违约概率,回收率和信用利差的近似表达式。我们提出了一种新颖的结构模型估计方法,该方法考虑了嘈杂的资产价值。我们将提出的方法应用于Parmalat案例,以校准我们模型的简单版本,并表明该模型能够在会计违规行为期间恢复一定数量的误报。

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