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The article measures the bank loan’s credit risk with the value of a put option which based on the Merton structure model, introduces the delta hedging strategy of option transaction into the bank credit risk management. The article analyzes three main influence factors of delta hedging, states that the absolute value of delta has a reverse relation(More)
This study tries to reveal emergencies and their influence on corporation credit risks. Based on the recognition of emergency and its definition, we establish Poisson process model of emergencies and compound Poisson process model of emergenciespsila influence on corporation credit risks. And then, we do some quantification study on them. It turns out that(More)
This paper focus on the application of binary tree method for pricing convertible bond by analyzing the characteristics of options. In the pricing model, the convertible bond can be regarded as compound options having an upper and lower limit. Considering the trigger condition of the redemption, conversion and selling back corresponding to the nodes, this(More)
Looking into risk coalesce appraisal of assets securitization through ecology theory, on the basic of measuring law which is named BES, set three independent variables as followed, concentration degree in trade, concentration degree in service, concentration degree in productions, for the first time, connecting risk coalesce appraisal in assets(More)
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