Improvement And Expansion Of Corporate Credit Risk Quantification Model

Credit risk has always been the most concerned type of risk in the financial market,and corporate default probability is one of the main indicators for measuring credit risk.In recent years,with the liberalization of financial markets,globalization,and complexity,the challenges faced by companies in controlling credit risks have become increasingly severe.Research on the quantification of corporate credit risks and the calculation of default probability has also become a hot topic.At present,we will mainly introduce two basic models based on the structural model of option pricing and the simplification model based on credit rating,and improve on this basis.This article will focus on discussing the calculation methods of default probability in these two credit risk quantification models and propose improvements and extensions.Based on the Merton structural model,we will try to use the Fourier Transform method to price continuous barrier options,and discuss that the company's stock is considered as an barrier option on the company's assets,and it modifies the hypothesis that the value of the assets in the Merton model obeys the geometric Brownian motion to obey the Web Markov skeleton process,using the martingale method to price this kind of European option,and transforming the calculation of the default probability of the company into an option pricing problem under different scenarios.Investigate the issue of calculation of company default or bankruptcy under this improvement;At the same time,this paper will try to use several simple machine learning algorithms to solve the credit risk quantification problem of non-credit rating companies,and apply the supervised learning algorithm to the credit risk quantification problem.In the study,the credit rating of non-rating companies would be quickly calculated by using the financial data of the rated company,and this is used as an important basis for calculating the default probability of the company and the valuation of the company.