Banks’ Risk Dynamics and Distance to Default
针对银行资产的特殊性（风险债务、非线性收益），改进了违约风险的结构模型，发现标准模型在资产价值高时会严重低估银行的违约风险。
Abstract We adapt structural models of default risk to take into account the special nature of bank assets. The usual assumption of lognormally distributed asset values is not appropriate for banks. Typical bank assets are risky debt claims with concave payoffs. Because of the payoff nonlinearity, bank asset volatility rises following negative shocks to borrower asset values. As a result, standard structural models with constant asset volatility can severely understate banks’ default risk in good times when asset values are high. Additionally, bank equity return volatility is much more sensitive to negative shocks to asset values than in standard structural models.