新概念英語(yǔ)1 L133 134課件

新概念英語(yǔ)1-L133-134課件新概念英語(yǔ)1-L133-134課件1Let’share!What’sthemostsensationalnewsyouhaveeverheard?Video:thelatestnewsLet’share!What’sthemostsen2Newwordsandexpressionsreporter[ri'p?:t?]n．記者

sensational[sen'sei??n?l]adj．爆炸性的，聳人聽(tīng)聞的

minkcoat['mi?k-k?ut]貂皮大衣

Newwordsandexpressionsrepor3新概念英語(yǔ)1L133134課件4新概念英語(yǔ)1L133134課件5新概念英語(yǔ)1L133134課件6Newwordsandexpressionsn．記者reporter[ri'p?:t?]

adj．爆炸性的，聳人聽(tīng)聞的sensational[sen'sei??n?l]

貂皮大衣minkcoat['mi?k-k?ut]Newwordsandexpressionsn．記者7直接引語(yǔ)變間接引語(yǔ)直接引語(yǔ)Hesaid,”IlikeEnglishverymuch.”間接引語(yǔ)HesaidthathelikedEnglishverymuch.直接轉(zhuǎn)述別人的話，用引號(hào)。用自己的話轉(zhuǎn)述別人的話。一般情況下是賓語(yǔ)從句直接引語(yǔ)變間接引語(yǔ)直接引語(yǔ)Hesaid,”Ilik8(1)人稱的變化Shesays,“Iamabusdriver.”→Shesays(that)sheisabusdriver.Hesays,“Mymotherwillcomebacktomorrow.”→

Hesays(that)hismotherwillcomebacktomorrow.Tomsays,“Youareagoodstudent.”→TomsaysIamagoodstudent.(1)人稱的變化9時(shí)態(tài)變化時(shí)態(tài)變化10指示代詞，時(shí)間狀語(yǔ)，地點(diǎn)狀語(yǔ)的指示代詞，時(shí)間狀語(yǔ)，地點(diǎn)狀語(yǔ)的11TextDoyoustillrememberKarenMarsh?Whatisshe?Howoldisshe?TextDoyoustillrememberKare12Watchthevideoandanswerthequestion:WhatreasonsdidKarenMarshgiveforwantingtoretire?Becauseshesaidshefeltverytired.Watchthevideoandanswerthe13FurtherQuestions:Whoisthereporter?

AlanJones2.Hasshejustmadeanewfilm?Yes,shehas.3.Isshegoingtomakeanotherfilm?No,sheisn’t.4.Whatisshegoingtodo?

Sheisgoingtoretire.5.Howdoesshefeel?Shefeelstired.6.Doesshewanttomakeanotherfilmforalongtime?

No,shedoesn’t.FurtherQuestions:14REPORTER:Haveyoujustmadeanewfilm,MissMarsh?MISSMARSH:Yes,Ihave.REPORTER:Areyougoingtomakeanother?MISSMARSH:No,I'mnot.I'mgoingtoretire.Ifeelverytired.Idon’twanttoforalongtime.makeafilm拍電影時(shí)態(tài)：現(xiàn)在完成時(shí)另一another(film)Why?for+時(shí)間段表時(shí)間持續(xù)長(zhǎng)短makeanotherfilmREPORTER:Haveyoujustmadea15Shesays,“Ihavejustmadeanewfilm.”Shesaysthatshehasjustmadeanewfilm.Shesays,“I'mnotgoingtomakeanother.”Shesaysthatsheisnotgoingtomakeanother.Shesays,“I'mgoingtoretire.”Shesaysthatsheisgoingtoretire.”Shesays,“Ifeelverytired.”Shesaysthatshefeelsverytired.Shesays,“Idon'twanttomakeanotherfilmforalongtime.Shesaysshedoesn’twanttomakeanotherfilmforalongtime.Shesays,“Ihavejustmadea16Shesaid,“Ihavejustmadeanewfilm.”Shesaidthatshehadjustmadeanewfilm.Shesaid,“I'mnotgoingtomakeanother.”Shesaidthatshewasnotgoingtomakeanother.Shesaid,“I'mgoingtoretire.”Shesaidthatshewasgoingtoretire.”Shesaid,“Ifeelverytired.”ShesaidthatshefeltverytiredShesaid,“Idon'twanttomakeanotherfilmforalongtime.Shesaidshedidn’twanttomakeanotherfilmforalongtime.Shesaid,“Ihavejustmadea17KATE:Let's

buyanewspaper,Liz.

Listen

tothis!

‘KarenMarsh:SensationalNews!

Byourreporter,AlanJones.

KarenMarsharrivedatLondonAirporttoday.

Shewaswearingabluedressandaminkcoat.

letsb.dosth.hadbetterdosth.后面接不定式的動(dòng)詞：asksb.todosth.tellsb.todosth.wantsb.todosth.wouldlikesb.todosth.listen為不及物動(dòng)詞listen+prep.+賓語(yǔ)e.g.look/arrive引出作者名wear狀態(tài)=bedressedinputon穿上KATE:Let'sbuyanewspaper,L18Shetoldmeshehadjustmadeanewfilm.

Shesaidshewasnotgoingtomakeanother.

Shesaidshewasgoingtoretire.

Shetoldreportersshefeltverytired

anddidn'twanttomakeanotherfilmforalongtime.Shetoldmeshehadjustmade19Iwonderwhy!wonder“不知道，想知道”我想知道你為什么不想回家Iwonderwhyyoudidn’twanttogohome.我想知道她是誰(shuí)。(賓語(yǔ)從句要用陳述語(yǔ)序)Iwonderwhosheis.Let’smakesentence:Iwonder…Iwonderwhy!wonder20Pairwork:頭腦風(fēng)暴！A:(Makesentences!)B:Asaid(that)…Pairwork:頭腦風(fēng)暴！21語(yǔ)法歸納：性質(zhì)：賓語(yǔ)從句人稱:一隨主,二隨賓,三不變時(shí)態(tài)：主句為一般過(guò)去時(shí)態(tài)，從句相應(yīng)的變化引導(dǎo)詞:陳述句用that一般疑問(wèn)句用if或whether特殊疑問(wèn)句用特殊疑問(wèn)詞祈使句：tellsb.todos.thasksb.todos.thordersb.todos.th語(yǔ)法歸納：陳述句用that一般疑問(wèn)句用if或whether特22Practice:1)Hesaid,“My

brotherfailedintheexam.”Hesaid____brotherhadfailedintheexam.2)HesaidtoMary,“Howisyourmothernow?”heaskedMaryhow_____motherwasthen.3)Myteachersaid,‘‘sheisagoodstudent.’’Myteachersaid____wasagoodstudent4)Hesaidtome,“I’veleftherbookinyourroom”Hetoldmethat___hadleft___bookin___room.hishershehehermyPractice:hishershehehermy23練習(xí)：1.“Inevereatmeat.”

hesaid.

Hesaidthat

never

meat.2.“Imetheryesterday.”

hetoldme.He

methathe

heryesterday.3.Hesaid,“Youcansithere,Jim.”He

Jimthathe

sitthere.heatetoldhadmettoldcould練習(xí)：heatetoldhadmettoldcould245.“Doyouknowwhereshelives?”

heasked.Heasked

knewwhereshe

.6.“Stopmakingsomuchnoise,children.”

hesaid.

He

thechildren

makingsomuchnoise.7.“Don’ttellhimthenews.”

shesaid.Shetoldme

himthenews.8.“Areyouinterestedinthis?”

hesaid.He

Iwasinterestedin

.if/whetherIlivedtoldtostopnottotellaskedif/whetherthatif/whetherIlivedtoldtostopnot251.Jacksaidtome,“Youlookworriedtoday.”Jacktoldmethat___worried___.A.helooks…todayB.youlook…todayC.welooked…thatdayD.Ilooked…thatdayExerciseII1.Jacksaidtome,“Youlook262.Wesaidtoher,“They’rewalkingthroughthestreet.”Wetoldherthat___throughthestreet.

A.wewerewalking…thenB.youarewalking…nowC.theywerewalking…thenD.theywalking…now2.Wesaidtoher,“They’rewa278.Jacksaidtoher,“Wheredoyouspendyourholidays?”Jackaskedherwhere____holidays.shespentherB.youspendyourC.shespendherD.youspentyour8.Jacksaidtoher,“Wheredo289.Blackaskedme,“Whyhaven’tyoulefthereyet?”Blackaskedmewhy____yet.Ihadn’tleftthereB.Ihaven’tlefthereC.hadn’tIleftthereD.haven’tIlefthere9.Blackaskedme,“Whyhaven29Homework1.課文背誦2.單詞抄寫(xiě)5+3.趣配音Homework1.課文背誦30第六章信用風(fēng)險(xiǎn)度量模型

——期權(quán)推理分析法第六章信用風(fēng)險(xiǎn)度量模型

31期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量期權(quán)推理分析法（Option-theoreticApproach）：KMV模型（一）原理

1、貸款與期權(quán)的關(guān)系假設(shè)企業(yè)借款額為OB,貸款到期時(shí)該企業(yè)的資產(chǎn)市值為OA2，如圖3所示。在這種情況下，企業(yè)將歸還這筆貸款，并且企業(yè)的股東還會(huì)得到資產(chǎn)增值部分。貸款到期時(shí)，企業(yè)資產(chǎn)的市值越大，企業(yè)留給股東的資產(chǎn)增值就越大。反之，如果企業(yè)資產(chǎn)市值低于OB(如OA1

),則借款者資不抵債破產(chǎn)，只能把企業(yè)資產(chǎn)交給銀行來(lái)處置。從圖4中可以看出，如果企業(yè)資產(chǎn)市值降到借款總額B以下的某一點(diǎn)（如L，OL相當(dāng)于企業(yè)的資產(chǎn)市值），因?yàn)榻杩钊说呢?zé)任以其自身財(cái)產(chǎn)為限，所以借款人一旦破產(chǎn)，其最大的損失就是自身的資產(chǎn)OL，這時(shí)他會(huì)選擇破產(chǎn)而不是償還貸款。因此，可以將借款企業(yè)股東的股權(quán)市值頭寸看成持有一份以企業(yè)資產(chǎn)市值為標(biāo)的的看漲期權(quán)。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量期權(quán)推理分析法（Opti32期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量股權(quán)價(jià)值E0-LA1BA2資產(chǎn)價(jià)值期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量股權(quán)價(jià)值E0-LA1BA2資產(chǎn)價(jià)值33期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量

2、企業(yè)股權(quán)市值與其資產(chǎn)市值之間的關(guān)系根據(jù)布萊克-斯科爾斯-默頓模型中股票看漲期權(quán)定價(jià)原理，企業(yè)股權(quán)市值可由下式來(lái)估價(jià)：（9）

式（9）中，A是資產(chǎn)市值，B是貸款總額，r是短期利率，是企業(yè)資產(chǎn)市值的波動(dòng)性,是股票看跌期權(quán)的到期日或在貸款情形下指貸款期限（或違約期限）。在所有變量中，符號(hào)上方加一橫線是可以從市場(chǎng)上觀察到的。上式表示企業(yè)股權(quán)市值與它的資產(chǎn)市值之間的關(guān)系。如果能得到企業(yè)資產(chǎn)市值的波動(dòng)性，就可以算出企業(yè)資產(chǎn)的市值，從而結(jié)合二者得到借款企業(yè)的理論預(yù)期違約概率，對(duì)貸款的信用風(fēng)險(xiǎn)作出評(píng)價(jià)。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量2、企業(yè)股權(quán)市值與其資產(chǎn)市值之間34期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量由于企業(yè)股權(quán)市值的波動(dòng)性（）與它資產(chǎn)市值波動(dòng)性之間存在理論關(guān)系式：（10）而股權(quán)市值的波動(dòng)性是可以在市場(chǎng)上觀察到的，因此，將式（9）與（10）聯(lián)立，通過(guò)連續(xù)的迭代，便可最終求出A值和值。在式（9）中，B也為違約執(zhí)行點(diǎn)，它的數(shù)量是企業(yè)所有短期負(fù)債（一年或一年以下）和50%的長(zhǎng)期債務(wù)賬面值。為債務(wù)到期日，通常設(shè)定為一年。一旦A值和值計(jì)算出來(lái)，B值和值確定后，便可計(jì)算出理論預(yù)期違約頻率的值了。假設(shè)某一借款企業(yè)資產(chǎn)市值A(chǔ)為1億美元，其資產(chǎn)市值年標(biāo)準(zhǔn)差為1000萬(wàn)美元，違約執(zhí)行價(jià)格B為8000萬(wàn)美元，為一年期，r為無(wú)風(fēng)險(xiǎn)利率。那么該企業(yè)在一年內(nèi)倒閉的概率，在理論上是該企業(yè)在一年內(nèi)從目前的資產(chǎn)市值1億美元降到違約價(jià)格8000萬(wàn)美元以下的概率。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量由于企業(yè)股35期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量與此同時(shí)，當(dāng)假定該企業(yè)未來(lái)一年內(nèi)資產(chǎn)市值是圍繞著目前資產(chǎn)市值水平呈正態(tài)分布狀，由此便可計(jì)算出當(dāng)T=0（今天），該企業(yè)在一年期限中到達(dá)違約點(diǎn)的距離：

抵達(dá)違約點(diǎn)的距離=

進(jìn)入違約區(qū)域的借款企業(yè)只有它的資產(chǎn)價(jià)值在一年內(nèi)減少2000萬(wàn)美元，或者進(jìn)入2個(gè)標(biāo)準(zhǔn)差的水平甚至更多才會(huì)違約。如果企業(yè)資產(chǎn)市值的確呈現(xiàn)正態(tài)分布的話，這時(shí)有95%的概率，其資產(chǎn)市值圍繞著它們的均值在正負(fù)1.96個(gè)標(biāo)準(zhǔn)差之間波動(dòng)。同時(shí)，該企業(yè)資產(chǎn)市值變動(dòng)量超過(guò)±1.96的概率分別為2.5%。換言之，該借款企業(yè)具有2.5%的預(yù)期違約概率（EDF）。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量與此同時(shí)，36期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量以上是借款企業(yè)理論預(yù)期違約概率，它與現(xiàn)實(shí)中實(shí)際發(fā)生的預(yù)期違約概率存在很大差異。因此，KMV公司建立一個(gè)全球范圍內(nèi)企業(yè)和企業(yè)違約信息數(shù)據(jù)庫(kù)，計(jì)算出了各類信用等級(jí)企業(yè)經(jīng)驗(yàn)預(yù)期違約概率，從而產(chǎn)生以這種經(jīng)驗(yàn)預(yù)期違約頻率為基礎(chǔ)的信用分值。KMV模型的優(yōu)點(diǎn)——①充分利用資本市場(chǎng)信息來(lái)進(jìn)行信用風(fēng)險(xiǎn)的量化分析。②所獲取的數(shù)據(jù)來(lái)自股市資料，而非企業(yè)的歷史賬面資料，因此，更能反映企業(yè)當(dāng)前信用狀況，預(yù)測(cè)能力更強(qiáng)。③建立在理財(cái)理論和期權(quán)理論基礎(chǔ)上，得出的預(yù)期違約概率具有較強(qiáng)的說(shuō)服力。KMV模型的缺陷——①適用于對(duì)上市公司的信用風(fēng)險(xiǎn)評(píng)估，對(duì)非上市公司評(píng)估時(shí)，需借助某些會(huì)計(jì)資料信息，因而計(jì)算出來(lái)的EDF值未必準(zhǔn)確。②假定企業(yè)資產(chǎn)價(jià)值呈正態(tài)分布，但現(xiàn)實(shí)中并非所有企業(yè)都符合這一假設(shè)。③不能對(duì)長(zhǎng)期債務(wù)的不同類型進(jìn)行分辨。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量以上是借37新概念英語(yǔ)1-L133-134課件新概念英語(yǔ)1-L133-134課件38Let’share!What’sthemostsensationalnewsyouhaveeverheard?Video:thelatestnewsLet’share!What’sthemostsen39Newwordsandexpressionsreporter[ri'p?:t?]n．記者

sensational[sen'sei??n?l]adj．爆炸性的，聳人聽(tīng)聞的

minkcoat['mi?k-k?ut]貂皮大衣

Newwordsandexpressionsrepor40新概念英語(yǔ)1L133134課件41新概念英語(yǔ)1L133134課件42新概念英語(yǔ)1L133134課件43Newwordsandexpressionsn．記者reporter[ri'p?:t?]

adj．爆炸性的，聳人聽(tīng)聞的sensational[sen'sei??n?l]

貂皮大衣minkcoat['mi?k-k?ut]Newwordsandexpressionsn．記者44直接引語(yǔ)變間接引語(yǔ)直接引語(yǔ)Hesaid,”IlikeEnglishverymuch.”間接引語(yǔ)HesaidthathelikedEnglishverymuch.直接轉(zhuǎn)述別人的話，用引號(hào)。用自己的話轉(zhuǎn)述別人的話。一般情況下是賓語(yǔ)從句直接引語(yǔ)變間接引語(yǔ)直接引語(yǔ)Hesaid,”Ilik45(1)人稱的變化Shesays,“Iamabusdriver.”→Shesays(that)sheisabusdriver.Hesays,“Mymotherwillcomebacktomorrow.”→

Hesays(that)hismotherwillcomebacktomorrow.Tomsays,“Youareagoodstudent.”→TomsaysIamagoodstudent.(1)人稱的變化46時(shí)態(tài)變化時(shí)態(tài)變化47指示代詞，時(shí)間狀語(yǔ)，地點(diǎn)狀語(yǔ)的指示代詞，時(shí)間狀語(yǔ)，地點(diǎn)狀語(yǔ)的48TextDoyoustillrememberKarenMarsh?Whatisshe?Howoldisshe?TextDoyoustillrememberKare49Watchthevideoandanswerthequestion:WhatreasonsdidKarenMarshgiveforwantingtoretire?Becauseshesaidshefeltverytired.Watchthevideoandanswerthe50FurtherQuestions:Whoisthereporter?

AlanJones2.Hasshejustmadeanewfilm?Yes,shehas.3.Isshegoingtomakeanotherfilm?No,sheisn’t.4.Whatisshegoingtodo?

Sheisgoingtoretire.5.Howdoesshefeel?Shefeelstired.6.Doesshewanttomakeanotherfilmforalongtime?

No,shedoesn’t.FurtherQuestions:51REPORTER:Haveyoujustmadeanewfilm,MissMarsh?MISSMARSH:Yes,Ihave.REPORTER:Areyougoingtomakeanother?MISSMARSH:No,I'mnot.I'mgoingtoretire.Ifeelverytired.Idon’twanttoforalongtime.makeafilm拍電影時(shí)態(tài)：現(xiàn)在完成時(shí)另一another(film)Why?for+時(shí)間段表時(shí)間持續(xù)長(zhǎng)短makeanotherfilmREPORTER:Haveyoujustmadea52Shesays,“Ihavejustmadeanewfilm.”Shesaysthatshehasjustmadeanewfilm.Shesays,“I'mnotgoingtomakeanother.”Shesaysthatsheisnotgoingtomakeanother.Shesays,“I'mgoingtoretire.”Shesaysthatsheisgoingtoretire.”Shesays,“Ifeelverytired.”Shesaysthatshefeelsverytired.Shesays,“Idon'twanttomakeanotherfilmforalongtime.Shesaysshedoesn’twanttomakeanotherfilmforalongtime.Shesays,“Ihavejustmadea53Shesaid,“Ihavejustmadeanewfilm.”Shesaidthatshehadjustmadeanewfilm.Shesaid,“I'mnotgoingtomakeanother.”Shesaidthatshewasnotgoingtomakeanother.Shesaid,“I'mgoingtoretire.”Shesaidthatshewasgoingtoretire.”Shesaid,“Ifeelverytired.”ShesaidthatshefeltverytiredShesaid,“Idon'twanttomakeanotherfilmforalongtime.Shesaidshedidn’twanttomakeanotherfilmforalongtime.Shesaid,“Ihavejustmadea54KATE:Let's

buyanewspaper,Liz.

Listen

tothis!

‘KarenMarsh:SensationalNews!

Byourreporter,AlanJones.

KarenMarsharrivedatLondonAirporttoday.

Shewaswearingabluedressandaminkcoat.

letsb.dosth.hadbetterdosth.后面接不定式的動(dòng)詞：asksb.todosth.tellsb.todosth.wantsb.todosth.wouldlikesb.todosth.listen為不及物動(dòng)詞listen+prep.+賓語(yǔ)e.g.look/arrive引出作者名wear狀態(tài)=bedressedinputon穿上KATE:Let'sbuyanewspaper,L55Shetoldmeshehadjustmadeanewfilm.

Shesaidshewasnotgoingtomakeanother.

Shesaidshewasgoingtoretire.

Shetoldreportersshefeltverytired

anddidn'twanttomakeanotherfilmforalongtime.Shetoldmeshehadjustmade56Iwonderwhy!wonder“不知道，想知道”我想知道你為什么不想回家Iwonderwhyyoudidn’twanttogohome.我想知道她是誰(shuí)。(賓語(yǔ)從句要用陳述語(yǔ)序)Iwonderwhosheis.Let’smakesentence:Iwonder…Iwonderwhy!wonder57Pairwork:頭腦風(fēng)暴！A:(Makesentences!)B:Asaid(that)…Pairwork:頭腦風(fēng)暴！58語(yǔ)法歸納：性質(zhì)：賓語(yǔ)從句人稱:一隨主,二隨賓,三不變時(shí)態(tài)：主句為一般過(guò)去時(shí)態(tài)，從句相應(yīng)的變化引導(dǎo)詞:陳述句用that一般疑問(wèn)句用if或whether特殊疑問(wèn)句用特殊疑問(wèn)詞祈使句：tellsb.todos.thasksb.todos.thordersb.todos.th語(yǔ)法歸納：陳述句用that一般疑問(wèn)句用if或whether特59Practice:1)Hesaid,“My

brotherfailedintheexam.”Hesaid____brotherhadfailedintheexam.2)HesaidtoMary,“Howisyourmothernow?”heaskedMaryhow_____motherwasthen.3)Myteachersaid,‘‘sheisagoodstudent.’’Myteachersaid____wasagoodstudent4)Hesaidtome,“I’veleftherbookinyourroom”Hetoldmethat___hadleft___bookin___room.hishershehehermyPractice:hishershehehermy60練習(xí)：1.“Inevereatmeat.”

hesaid.

Hesaidthat

never

meat.2.“Imetheryesterday.”

hetoldme.He

methathe

heryesterday.3.Hesaid,“Youcansithere,Jim.”He

Jimthathe

sitthere.heatetoldhadmettoldcould練習(xí)：heatetoldhadmettoldcould615.“Doyouknowwhereshelives?”

heasked.Heasked

knewwhereshe

.6.“Stopmakingsomuchnoise,children.”

hesaid.

He

thechildren

makingsomuchnoise.7.“Don’ttellhimthenews.”

shesaid.Shetoldme

himthenews.8.“Areyouinterestedinthis?”

hesaid.He

Iwasinterestedin

.if/whetherIlivedtoldtostopnottotellaskedif/whetherthatif/whetherIlivedtoldtostopnot621.Jacksaidtome,“Youlookworriedtoday.”Jacktoldmethat___worried___.A.helooks…todayB.youlook…todayC.welooked…thatdayD.Ilooked…thatdayExerciseII1.Jacksaidtome,“Youlook632.Wesaidtoher,“They’rewalkingthroughthestreet.”Wetoldherthat___throughthestreet.

A.wewerewalking…thenB.youarewalking…nowC.theywerewalking…thenD.theywalking…now2.Wesaidtoher,“They’rewa648.Jacksaidtoher,“Wheredoyouspendyourholidays?”Jackaskedherwhere____holidays.shespentherB.youspendyourC.shespendherD.youspentyour8.Jacksaidtoher,“Wheredo659.Blackaskedme,“Whyhaven’tyoulefthereyet?”Blackaskedmewhy____yet.Ihadn’tleftthereB.Ihaven’tlefthereC.hadn’tIleftthereD.haven’tIlefthere9.Blackaskedme,“Whyhaven66Homework1.課文背誦2.單詞抄寫(xiě)5+3.趣配音Homework1.課文背誦67第六章信用風(fēng)險(xiǎn)度量模型

——期權(quán)推理分析法第六章信用風(fēng)險(xiǎn)度量模型

68期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量期權(quán)推理分析法（Option-theoreticApproach）：KMV模型（一）原理

1、貸款與期權(quán)的關(guān)系假設(shè)企業(yè)借款額為OB,貸款到期時(shí)該企業(yè)的資產(chǎn)市值為OA2，如圖3所示。在這種情況下，企業(yè)將歸還這筆貸款，并且企業(yè)的股東還會(huì)得到資產(chǎn)增值部分。貸款到期時(shí)，企業(yè)資產(chǎn)的市值越大，企業(yè)留給股東的資產(chǎn)增值就越大。反之，如果企業(yè)資產(chǎn)市值低于OB(如OA1

),則借款者資不抵債破產(chǎn)，只能把企業(yè)資產(chǎn)交給銀行來(lái)處置。從圖4中可以看出，如果企業(yè)資產(chǎn)市值降到借款總額B以下的某一點(diǎn)（如L，OL相當(dāng)于企業(yè)的資產(chǎn)市值），因?yàn)榻杩钊说呢?zé)任以其自身財(cái)產(chǎn)為限，所以借款人一旦破產(chǎn)，其最大的損失就是自身的資產(chǎn)OL，這時(shí)他會(huì)選擇破產(chǎn)而不是償還貸款。因此，可以將借款企業(yè)股東的股權(quán)市值頭寸看成持有一份以企業(yè)資產(chǎn)市值為標(biāo)的的看漲期權(quán)。期權(quán)應(yīng)用舉例：信用風(fēng)險(xiǎn)度量期權(quán)推理