a 4-page summary.
in a logical step-by-step manner, this summary note explains how BSM option pricing model could be used to value the credit-risky firm debt, including the estimation of key risk parameters like PD and LGD. During the course of introduction, the note also
shows how to evaluate stock and bond based on BSM model.
用较为清晰的数学逻辑,讲解如何利用期权定价模型进行对公司债务信用风险的评估,包括对PD,EL,LGD等风险参数的估计,以及对公司股票、债券的估值。