友情帮顶

我现在觉得原因可能和下文的第二段一样。
http://www.economist.com/blogs/f ... n_defense_of_copula

我现在也在看这个，信用风险的测量，也是没弄懂他想说的违约率的公式到底是怎么来的？楼主知道了吗？知道了的话能否告诉一声

Loss must be covered by its yield, simple as that. The left hand side of equation 1, \lambda*(1-R) is the estimated total losses because \lambda is the frequency (called hazard rate) of default, times 1 minus recovery rate would be the total losses, and it has to be met with the potential yield should no default happen, which is the right hand side. Then by moving the 1-R to the right hand side would be your equation (22.2).

The whole thing is based on pricing principle that the market value of a bond (as well as any other assets traded in open markets) must be priced considering the default rate and recovery rate.

Btw the hazard rate is constant when the underlying probability distribution of default incidents is exponential, in which case we can drop the \bar above the \lambda since the whole default process would be smooth, meaning the frequency, or times of default happened in any fixed time period is a constant. In this case the equation is exact, not approximation.

If the underlying distribution is not exponential we can still use the average hazard rate \lambda with \bar above it to approximate the average frequency of default. That's why the author says here "This means that it is approximately true that".