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De l'évaluation du risque de crédit

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  • Francois-Éric Racicot

    ()
    (Département des sciences administratives, Université du Québec (Outaouais))

  • Raymond Théoret

    ()
    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

En recourant de plus en plus aux modèles à forme réduite, la théorie de l'évaluation du risque de crédit se distance de plus en plus de l'ingénierie financière traditionnelle qui donne la part belle aux modèles structurels. Bien qu'ils postulent l'absence d'arbitrage, les modèles à forme réduite reposent sur la distribution des pertes d'une entreprise dans un monde risque-neutre plutôt que sur un processus de diffusion. Il s'ensuit que la faillite n'est pas un processus prévisible comme dans le modèle original de Merton mais survient de façon subite. L'avenir de l'évaluation du risque de crédit semble être du côté des modèles hybrides qui combinent les modèles structurels et les modèles à forme réduite.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/Articlemesuredurisquedecredit.pdf
File Function: First version, 2005
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Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp0322005.

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Length: 39 pages
Date of creation: 01 Sep 2005
Date of revision:
Handle: RePEc:pqs:wpaper:0322005

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Keywords: évaluation des actifs; risque de crédit; ingénierie financière.;

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References

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  1. Black, Fischer & Cox, John C, 1976. "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions," Journal of Finance, American Finance Association, vol. 31(2), pages 351-67, May.
  2. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  3. Longstaff, Francis A & Schwartz, Eduardo S, 1995. " A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
  4. Simon Benninga, 2000. "Financial Modeling, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262024829, December.
  5. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
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