Reduced Form 有比较强的数据假设,往往无法满足。所以主要得解决内生性问题。好处是对模型设定没有太大的要求,可以快速进行数据分析并得出结论。现在流行先进 model-free evidence 然后再 structural Structural Form 有比较强的模型假设,商学院最常用的就是DCM,主要得解决识别问题。比如说,不存在异质性,需求弹性一致等等。
在三级固收这里就是用来估计PD (probability of default)的。 Reduced-form model是基于市场信息做的计量回归模型。会使用到的数据有,公司自己的财务指标,以及宏观经济指标,这些都是市场可以观察到的数据【observable company-specific variables such as financial ratios and recovery assumptions as well as macroeconomic...
Structural form 和 reduced form 是SEM模型的两种写法，reduced是从structural推出来的。
1、可否解释一下reduced form model和structural model的区别? 2、听了老师讲解,我理解的是structural model是可以利用BSM model来进行计算违约概率的,但是下方老师提到的,structural model无法用BSM模型进行期权定价?是不是说错了? 3、另外 选项b这个何老师说是structural model的特点:structural credit models use mark...
Junyi Hou 提到“而在structural form里面，除了前面这个解释之外，β是有一定经济学意义的（e.g. 某...
On the structural side, a basic Merton model is not good enough; appropriate modifications to the framework make a difference. On the reduced-form side, the quality and quantity of data make a difference; many traded issuers will not be well modeled in this way unless they issue more traded...
ReducedFormvs.StructuralModelsofCreditRisk:ACaseStudyofThreeModelsNavneetArora,JeffreyR.Bohn,FanlinZhu©2005Moody’sKMVCompany.Allrightsreserved.CreditMonitor®,EDFCalc®,PrivateFirmModel®,KMV®,CreditEdge,PortfolioManager,PortfolioPreprocessor,GCorr,DealAnalyzer,CreditMark,theKMVlogo,Moody’sRiskCalc,...
This paper discusses and empirically tests the relative merits of three models of credit default risk: two structural models (Merton and Vasicek–Kealhofer [VK]) and one reduced-form model (Hull–White [HW]). The authors find that the VK and HW models predict defaults reasonably well and bot...
structural model, SEM, reduced form有什么区别? - 回答作者: tim不是婷婷 http://t.cn/A6x4MHkd (想看更多?下载 @知乎 App:http://t.cn/RJyS4mG )
The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in [1]) into a comprehensive unified model of structural and reduced form approaches. In our model the bond holders receive the deterministic coupon at predetermined coupon dates ...