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The jump sizes of interest rate in the credit market in China can be represented by ordinal numbers. The interest rate level, the industrial output growth rate, and the inflation rate are key factors that influence the jump sizes of interest rate. An ordered Probit regression model is established to forecast the jump sizes of interest rate. The explanatory variables of the model are the deviation...
The default distances of listed corporation in different time intervals during the loan period are calculated following the KMV model. Then, the correlation coefficient matrix of default distances of listed corporations is calculated accordingly. Substituting the correlation coefficient matrix and the default distances into the Gaussian copula function, the joint default probability of each default...
The main trouble to calculate the probabilities of default of listed banks with KMV model is that the coefficient of long term liabilities γ is uncertain. The probabilities of default can also be calculated according to credit spreads of financial bonds. Following the idea to minimize the differences between the probabilities of default calculated by KMV model and the probabilities of default according...
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