| 摘要 |
<P>PROBLEM TO BE SOLVED: To determine an appropriate yield even of a low rating with no market interest rate set, according to a market interest rate on each known rating. <P>SOLUTION: With reference to rating-specific market yield data and coupon rate data, a term structure of zero coupon yields is calculated about particular ratings that are ratings of bonds traded in the market. With reference to the zero coupon yield data and risk-free interest rates, risk-neutral default probabilities are calculated about the particular ratings. With rating transition information, cumulative default probabilities are calculated about every rating. From the risk-neutral default probabilities about the particular ratings and the cumulative default probabilities about every rating, correspondences between the risk-neutral default probabilities and the cumulative default probabilities are derived, and from the correspondences, risk-neutral default probabilities are calculated about the ratings other than the particular ratings. Finally, at least from the risk-neutral default probabilities about the ratings other than the particular ratings, estimated zero coupon yields are calculated at least about the ratings other than the particular ratings. <P>COPYRIGHT: (C)2005,JPO&NCIPI |
