真实公司价值不确定与违约风险评估

研究关于真实公司价值不确定意义下的信息非完全时违约风险的评估。假设外部投资者不能完全准确地观察到公司的真实价值，公司价值的观察值服从的随机过程包含干扰真实值观察的噪声，而投资者对违约风险的评估是基于通过观察值对真实值的最优估计，文章分别给出了经典的完全信息情形和真实公司价值不确定的非完全信息情形的违约概率评估公式，通过数值计算分析比较了2种情形违约风险评估的差异，发现真实公司价值不确定时外部投资者将低估公司债务的违约风险。

Default Risk Valuation with Uncertainty of True Corporate Value

The default risk with incomplete information in the sense of uncertain true corporate value was analyzed.Suppose that external firm's investor could not observe the true corporate value and the observed firm's value followed a certain stochastic process in which there existed a noise component that disturbed the observation.The valuation of default risk was based on optimal estimation of the true firm's value.The formulaes of default risk valuation were presented in two circumstances respectively,i.e.,classical complete information and incomplete information.The difference of default risk valuation between two situations was analyzed.It was shown that the noise information resulted in the devaluation of default risk by external investor.