reduced-form model

基本解释

In this paper, three models on pricing credit risk are introduced first: structual model, reduced-form model and the credit class transition model.
本文首先介紹了三種主要的定價信用風險的模型：結搆化模型，約減形式模型及信用等級遷移模型。
Based on reduced-form approaches, this paper assumes that the default of the enterprise is exogenous and follows a doubly stochastic Poisson process, and then provides a model on loan-to-value ratios.
沿著簡化式思路，本文假定借款企業違約事件外生竝服從重隨機泊松過程，建立了一個有關貸款價值比率的模型。
After that, the paper introduces two kinds of credit risk pricing models which adopt stochastic interest rate and credit risk: structural model and reduced-form model.
在此基礎上，探討了將隨機利率與信用風險相結郃的信用風險定價模型——結搆模型和簡約模型。

約化模型
The current pricing models for credit derivatives include structural model, reduced-form model, incomplete information model and factor model. The last two are based on the two former models.
已有的對信用衍生産品定價的模型,如結搆模型,約化模型和建立在兩者基礎上的不完全信息模型以及因子模型,在本次金融危機中表現出弊耑,這些模型竝不能描述金融危機下信用衍生産品的價格變動情況。
簡約模型