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中文摘要：
在Melton结构模型中引入投资者的行为作用因素，研究了市场存在不对称信息条件的公司信用风险管理．应用未定权益定价方法得到了公司的违约信用价差和违约概率的表达式，并通过一个具体实例分析了投资者行为因素对公司信用风险的影响．结果表明市场的不对称信息在风险管理过程中是不能忽视的重要因素．
英文摘要：
Incorporating the investor＇s behaviours into the Merton＇s structural model, the problem on the credit risks management of corporation with asymmetric information is considered in this paper. By applying the contingent claim approach, the formulas of both the credit spread and the default probability are obtained, and the effects of the investor＇s behavoirs on the credit risks of the corporation are further analyzed with a numerical example. The resuits show that the asymmetric information in the risk management process is a significant factor and should not be neglected.
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同项目期刊论文
A Study on Influence of Predictor Multicollinearity on Performance of Stepwise Regression Prediction
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