方法对比
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| 信用风险模型（Merton、KMV、CreditMetrics）× | 流动性风险模型（Amihud、Roll、LOT）× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1974 | 2002 |
| 提出者≠ | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) | Amihud (2002); Roll (1984); Lesmond, Ogden & Trzcinka (LOT) |
| 类型≠ | Structural and portfolio credit risk model | Liquidity / illiquidity measurement models |
| 开创性文献≠ | Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. DOI ↗ | Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5(1), 31-56. DOI ↗ |
| 别名≠ | Merton model, KMV model, CreditMetrics, structural credit risk model | Amihud illiquidity, Roll spread estimator, LOT spread measure, Lesmond-Ogden-Trzcinka measure |
| 相关 | 5 | 5 |
| 摘要≠ | Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997. | Liquidity Risk Models are a family of measures that quantify how easily an asset trades by capturing its price impact, its effective bid-ask spread, and a holding-period adjustment. The family brings together the Amihud illiquidity ratio (Amihud, 2002), the Roll serial-covariance spread estimator (Roll, 1984), and the LOT (Lesmond-Ogden-Trzcinka) realised-spread measure. |
| ScholarGate数据集 ↗ |
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