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针对Knight不确定环境下货币政策对银行风险的影响,在“风险承担渠道”假说下,利用倒向随机微分方程理论和期权定价方法建立违约概率模型,求出了Knight不确定环境下最小、最大违约概率的显式解,从而得到违约概率的区间表示。采用数值模拟方法,得到货币政策等因素对信贷质量具有非对称影响的结论。主要贡献在于:利用倒向随机微分方程理论引入Knight不确定性,更加科学的度量金融机构面临的风险;直接使用违约概率作为信贷质量的衡量指标,提高测度风险的灵敏性及前瞻性。
Aiming at the influence of monetary policy on bank risk in uncertain environment of Knight under the assumption of “risk-bearing channel ”, the default probability model is built by the theory of backward stochastic differential equations and option pricing method, , The explicit solution of the maximum probability of default, thus get the interval representation of the probability of default. The numerical simulation method is used to get the conclusion that the monetary policy and other factors have an asymmetric influence on credit quality. The main contributions are as follows: introducing the Knight uncertainty by using the theory of backward stochastic differential equations, and measuring the risks faced by financial institutions more scientifically; using default probability directly as a measure of credit quality to improve the sensitivity and forward-looking of measurement risk.