摘要
信用风险已成为金融业面临的最重要风险形式.通过结构模型估计企业债券的未来价格,建立了投资损失函数,并利用CV aR风险度量方法构造了期望收益最大化的债券组合优化模型,最后利用我国债券市场数据进行了实证分析.
Credit risk is the most important risk in finance area. Based on the structure model, we predict the future price of the corporate bond and then construct a loss function, and use CVaR to construct a optimal model of maximum expected profit to get the best scale of the portfolio. Finally empirical analysis for our bond market is performed to prove the validity of this model.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第8期65-69,共5页
Mathematics in Practice and Theory
基金
上海市哲学社会科学规划课题(2005BJB020)
上海市重点学科建设项目资助(T0502)
