论文标题
默顿的私人公司默认风险模型
Merton's Default Risk Model for Private Company
论文作者
论文摘要
由于除季度报告外，私人公司的资产价值无法观察到，因此尚未为私人公司开发结构模型。因此，本文试图使用股息折扣模型（DDM）为私人公司开发默顿的结构模型。在本文中，我们获得了封闭形式的风险公式 - 私人公司中性股权和责任价值和违约概率。此外，本文提供了ML估计器和模型参数的EM算法。
Because the asset value of a private company does not observable except in quarterly reports, the structural model has not been developed for a private company. For this reason, this paper attempt to develop the Merton's structural model for the private company by using the dividend discount model (DDM). In this paper, we obtain closed--form formulas of risk--neutral equity and liability values and default probability for the private company. Also, the paper provides ML estimators and the EM algorithm of our model's parameters.
