摘要翻译：
在全球金融危机之后，研究当前银行、金融和保险行业违约风险建模的适用性成为人们关注的焦点。Guo et al.(2008)最近的一项实证研究表明，经济违约日期和记录违约日期之间的时间差对回收率估计有显著影响。Guo et al.（2011）为一个企业违约过程建立了一个理论上的结构性企业资产价值模型，该模型嵌入了这两个违约时间的区别。为了更符合实际情况，本文在假设市场参与者不能直接观察企业资产价值的前提下，建立了一个简化模型来描述经济违约时间和记录违约时间。我们导出了这两个缺省时间的概率分布。通过对这两个模型差异的数值研究表明，我们提出的模型既能捕捉特征，又能拟合经验数据。
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英文标题：
《On Modeling Economic Default Time: A Reduced-Form Model Approach》
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作者：
Jia-Wen Gu, Bo Jiang, Wai-Ki Ching and Harry Zheng
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al.(2008) shows that the time difference between the economic and recorded default dates has a significant impact on recovery rate estimates. Guo et al.(2011) develop a theoretical structural firm asset value model for a firm default process that embeds the distinction of these two default times. To be more consistent with the practice, in this paper, we assume the market participants cannot observe the firm asset value directly and developed a reduced-form model to characterize the economic and recorded default times. We derive the probability distribution of these two default times. The numerical study on the difference between these two shows that our proposed model can both capture the features and fit the empirical data.
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