方法对比
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| 随机波动率模型 (Heston)× | 信用风险模型（Merton、KMV、CreditMetrics）× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1993 | 1974 |
| 提出者≠ | Steven L. Heston | Robert C. Merton (structural model); J.P. Morgan / Gupton et al. (CreditMetrics) |
| 类型≠ | Continuous-time stochastic volatility model | Structural and portfolio credit risk model |
| 开创性文献≠ | Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. DOI ↗ | 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 ↗ |
| 别名≠ | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) | Merton model, KMV model, CreditMetrics, structural credit risk model |
| 相关 | 5 | 5 |
| 摘要≠ | The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH. | 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. |
| ScholarGate数据集 ↗ |
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