【摘要】 针对KMV违约预测模型中固定违约点的缺陷,将违约点模糊化,以模糊事件表示违约,从而修改确定公司股权价值的期权公式,进一步得到违约概率预测。重点讨论计算违约模糊事件的基本思路,详细给出模糊统计方法,通过案例分析说明本文提出的模糊方法的可行性与长处。更多还原

【Abstract】 In this paper a modification version of pricing equation for firm’s equity is given through fuzzifying default point and representing default with fuzzy events, in contrast to the deficit of fixed default point in default forecasting model of KMV. Based on this, a fuzzy default forecasting method is proposed, which focuses on basic methodology to deal with the fuzzy default events by adapting the fuzzy statistics method. And then a case study is presented which demonstrates the feasibility and efficiency of the fuzzy method.更多还原