expected default frequency 中文意思是什麼

expected default frequency 解釋
預計違約頻率
  • expected : 期待,期望
  • default : n 1 不履行；違約；拖欠。2 【法律】不履行債務；缺席。3 欠缺，缺乏。vi vt 1 拖欠（欠款等），不履行...
  • frequency : n. 1. 屢次，頻仍，頻繁。2. （脈搏等的）次數，出現率；頻度；【物理學】頻率，周率。
  1. In light of market risk, there are sensitivity measurement method and volatility measurement method as well as the concepts about risk measurement, such as variance, duration, 3 - coefficient, 5 - coefficient and value at risk. and in light of credit risk, there are accounting - based ratio measurement method and volatility - based measurement method, as well as the related concepts, such as credit rating, z - score, transition matrix, expected default frequency

    其中，針對市場風險度量的方法包括靈敏度測量風險方法和波動性測量風險方法，與之相關的風險度量概念有方差、持續期、系數、類系數和在險價值；針對信用風險度量的方法包括基於財務比率的風險測量方法和基於波動性的風險測量方法，與之相關的風險度量概念有信用評級、 z分數、轉換矩陣、違約頻率。
  2. Supposing the company ' s value satisfies a certain probability distribution, then, we can calculate the company ' s value in the future as well as its connotative undulation basing on the relationship and a certain option pricing formula, which is based on the supposing talked above. further, we can calculate the company ' s expected default frequency. by now, the goal to measuring the company ' s credit risk has realized

    如果假設公司價值波動服從某一概率分佈，那麼根據與此概率分佈相對應的期權定價公式，以及股票價格波動率與公司資產價值波動率之間的函數關系，即可求出公司未來某個時點的期望價值及其隱含波動率，並進一步計算出此時點公司違約的概率，由此便實現了對公司信用評級的目的。
  3. Expected default frequency

    預計違約頻率
  4. The research of predicting financial distress in chinese listed firms based on expected default frequency model

    基於期望違約率模型的上市公司財務困境預警研究
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