【摘要】 本文提出新的建立于资产相关性之上的信用相关性模型。假设企业资产价值波动之间的双随机正态分布 ,从资产价格系列估计信用质量的相关性。更多还原

【Abstract】 This paper constructs a new credit correlation model based on asset correlation. Suppose a double variable normal distribution between the volatility of asset value, the correlation of credit quality can be derived.更多还原