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ID:32123706
大小:3.01 MB
页数:74页
时间:2019-01-31
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1、硕士学位论文AbstractIntheareaoffinance,theaccuratemeasurementandeffectivemanagementforcreditriskhavebeenoneofthemostchallengingtopics.Thesubprimemooragecrisisin2007iswarningthewholeworldofthenecessityandsignificanceofcreditriskmeasurementandmanagementoncemore,andhasmadethe
2、creditriskmeasurementtechnologyandmanagementmethodattractmoreandmoreattention.Thesubprimemortgagecrisisisessentiallythecreditcrisis,whichisrelatedtotherealestatemarketbubble.ItisthecollapseofthebubblethatdirectlycausedAmerica’Ssubprimecrisis,andeventuallyevolvedintot
3、hewholefinancialsystem’Scrisis.Therefore,howtoeffectivelycontrolandmanagethecreditrisk,particularlyrelatedtotherealestateindustry’Screditriskhasalreadyarousedgreatattentionfromfinancialregulators,financialinstitutionsandinvestors.Inthecontextofthisreality,onthebasiso
4、fin-depthresearchofmodencreditriskmanagementmodels,andcombingwiththeactualsituationofChineserealestatecompanies,weaimstoexploretheaccuracyandvalidityofthismodels,whichhasveryimportantpracticalsignificanceforChina’Sbanksandfinancialmarket.Firstofall,thisthesisintroduc
5、esthedefinitionandcharacte“sticsofthecreditrisk,discussesthemeaningofthecreditriskmanagementandanalysestheimportantfundamentroleofthecreditriskmeasurementinthecreditriskmanagement;Next,wehasadetailedreviewsandcommentsonmodemcreditriskmanagementmodels,andconsidersthat
6、theKMVmodelissuperiortoothercreditriskevaluationmodels.ThenbasedontheBlackandScholes(1973)andMerton(1974)(BSM)’Scontingentclaimsmodel,andcombingwithKMVCorporation’Sframework,weestimatethedistancetodefaultforasampleof99listedrealestatecompaniesovertheperiod2002to2009.
7、Itshowsthat,KMVmodelisvalidinmeasuringthecreditriskoftherealestatecompaniesinChina.Thesensitivityanalysisshowsthatthevolatilityofstockvalueisthemostsensitivetothedistancetodefault,butthechangeofthedefaultpointdoesn’thavesignificanteffectonthedistancetodefault.Wealsof
8、ound,thecreditriskleveloflistedrealestatecompaniesinChinafluctuatewildlyfrom2002to2009,andthecreditriskislarger.AccordingtotheDDfre
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