| 美国金融危机初始因素的敏感性分析——基于KMV模型 |
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| 引用本文： | 王周伟,王苗雯.美国金融危机初始因素的敏感性分析——基于KMV模型[J].统计与信息论坛,2010,25(1):73-78. |
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| 作者姓名： | 王周伟 王苗雯 |
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| 作者单位： | 上海师范大学,金融学院,上海,200072 |
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| 基金项目： | 上海市哲社课题，上海市教委科研创新课题，上海师范大学科学发展观项目 |
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| 摘 要： | 利用住房抵押贷款的基本定价模型及美国金融危机时期各相关变量的实际数据,对美国金融危机中的房价、房价波动率及利率三个直接初始因素进行敏感性作用力度弹性分析,探讨了房价、房价波动率及利率三个直接初始因素对住房抵押贷款价值与信用风险的敏感性与作用机理。
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| 关 键 词： | KMV模型 违约率 违约损失 风险值 |
The Sensitivity and Mechanism Analysis on the Initial Factor in the Financial Crisis in the United States Based on KMV model |
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| WANG Zhou-wei,WANG Miao-wen.The Sensitivity and Mechanism Analysis on the Initial Factor in the Financial Crisis in the United States Based on KMV model[J].Statistics & Information Tribune,2010,25(1):73-78. |
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| Authors: | WANG Zhou-wei WANG Miao-wen |
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| Institution: | WANG Zhou-wei,WANG Miao-wen(Finance college,Shanghai Normal University,Shanghai 200072,China) |
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| Abstract: | This article makes use of the basic mortgage pricing model and the actual data of the relevant variables during the U.S.financial crisis,and discusses the sensitivity and mechanism of the price,price volatility and interest rate factors on its value and credit risk. |
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| Keywords: | KMV model default rates default losses the risk value |
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