Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models
Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models
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风险债务定价：朗斯塔夫模型、施瓦茨模型和默顿模型的实证比较
DOI：
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发表时间：
1998
期刊：
影响因子：
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通讯作者：
Dajiang Guo
中科院分区：
文献类型：
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作者：
David Guoming Wei;Dajiang Guo
作者使用1992年的欧洲美元数据比较了两种期限结构模型。虽然这两个模型都对货币市场证券有限制，因为它们将违约的到达时间建模为可预测的过程，但默顿模型比朗斯塔夫-施瓦茨模型有一些优势。LS模型也更难以估计，因为参数数量多，模型结构复杂，计算要求高。然而，这两种模型都不能产生1992年欧洲美元市场上流行的“N”形信贷期限结构。
The authors compare two term structure models using Eurodollar data from 1992. While both models are restrictive for money market securities because they model the arrival time of default as a predictable process, the Merton model has some advantages over the Longstaff-Schwartz model. The LS model is also more difficult to estimate, because of a large number of parameters, complex model structures, and intensive calculation requirements. Neither model, however, can generate the "N"-shaped credit term structure that prevailed in the Eurodollar market during 1992.