公司信用风险研究的贝叶斯方法

作为一种充分利用各种信息的贝叶斯方法,在金融领域已经得到越来越重要的应用,包括了样本和非样本信息的统计方法。本文在结构模型框架下,应用贝叶斯方法考虑违约风险的先验信息和专家信息,估计Morton信用风险结构模型的参数,求出违约概率的后验估计,最后本文给出一个经验应用。

Research on Credit Risk Based on Bayesian Methods

Bayesian methods,as a statistical method incorporating sample and non-sample information,have being implemented more and more importantly.Under the frame of structural model,this paper will take the prior and expert information into account,estimate the parameters of the Morton credit risk model,and compute posterior estimates of the default probability.In the end,this paper gives a empirical application.