high capacity exposure 中文意思是什麼
high capacity exposure
解釋
高容量曝光-
The first hypothesis is true according to the pd of 1 - year and pds of each quarterly in one year before special treatment and the second hypothesis also is true in three quarterlies before a corporation is specially treated. default probability of a specially treated corporation is high and tends to increase as time near the exposure date. 2. kmv model has a capacity of discriminating the bad borrowers from good borrowers. 3. volatility of market value of asset is determinant of default probability
本文得出的主要結論有: (一)假設一在特別處理前一年及各個季度內成立,假設二在特別處理前三個季度內成立,我國資本市場中的特別處理公司具有較高的違約概率且隨著時間向特別處理實施日期逼近違約概率增加; (二) kmv模型具有較強的對違約債務人的識別力; (三)影響違約概率的主要因素是公司資產價值波動率。
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