Reduced model根据历史数据用company’s specific variable以及macro economic variable找出违约概率,并解释公司未来when default occurs,与structural model不同,reduced model中的POD是一个外生变量(external)。优点是输入变量是可以观察到的历史数据,可以反映出公司经历的经济周期,模型用的数据都是金融市场公开数据。缺点是...
结构方程模型(Structural Equation Model)与Reduced Form则是从数据出发的研究思想。SEM主要用于检验潜变量(...
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。
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...
老师您好,麻烦您解释一下reduced form credit models 和structural credit model,尤其是structural credit model 添加评论 0 0 1 个答案 发亮_品职助教 · 2024年08月05日 这两个模型是2类方法的统称哈。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...
一、【reduced form】：直接拿“价格Px和收入M”对需求量做线性回归，得到回归函数Q=β1Px+β2M+α+...
variables. In other words, the reduced form of an econometric model is one that has been rearranged algebraically so that each endogenous variable is on the left side of one equation and only predetermined variables (like exogenous variables and lagged endogenous variables) are on the right side....
Conduct counterfactual analysis or policy prediction. Disadvantages: Sometimes, we have to impose assumptions on unobservable, which are hard to verify. The theoretical basis might be wrong. It is usually time-consuming and hard to estimate a complex structural model....
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...
I show that the Merton (1974) credit spread model formula can be written as the credit spread formula for a reduced-form model.; When the value of a firm process follows a jump-diffusion process, there have not yet been developed closed-form solutions of the default probability and the ...