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。
大概意思是Reduced form models克服了Structual Model的一个缺点，structual model在分析违约概率和违约情况...
不同的情境有不同含义计量模型的构造总结就是reduced form就是你认为/理论认为有x和y的关系，你reg y x。而structural form就是直接从模型中得到关系式，然后用数据去估计里面的参数，多见于宏观、实证产业组织。例如估计消费模型中的跨期折现因子，或者模拟资产风险/利率之类，cochrane的资产定价课程做过...
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...
现代信用风险计量模型主要有structural model与reduced model。二者主要对比如下: Structural model(又称为company value model)将公司资产负债表与option进行类比,当资产价值<负债价值(负债价值称作barrier)时,公司会发生违约。该模型解释了why default occurs。该模型的优点是理论上简单,provide insight to the nature of...
简化式一般是通过结构式变型得到的。 对简化式方程,方程的左边全都是内生变量,方程的右边全都是前定变量(包括外生变量,以及滞后内生变量)。 In econometrics, the reduced form of a system of equations is the product of solving that system for its endogenous variables. In other words, the reduced form...
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...
上网查阅资料,得知reduced form和对应的structural form是经济学上的名词,具体不再赘述了,在这里reduced form代表简化式,可以用gcd(a, b)(计算a和b的最大公因数)来检查一个分式是否为结构式。相应的structural form代表未化简的式子。这个例子让我明白遇到陌生的东西应该去搜索,如果ppt里给出了不一样的例子,我对...
ReducedFormvs.StructuralModelsofCredit Risk:ACaseStudyofThreeModels ∗ NavneetArora,JeffreyR.Bohn,FanlinZhu Moody’sKMV February17,2005 Abstract Inthispaper,weempiricallycomparetwostructuralmodels(basicMertonandVasicek- Kealhofer(VK))andonereduced-formmodel(Hull-White(HW))ofcreditrisk.Wepropose ...
We contrast structural and reduced form empirical studies in environmental and resource economics. Both methodologies have their own context-specific advantages and disadvantages, and should be viewed as complements, not substitutes. Structural models typically require a theoretical model and explicit assumpti...