随机违约强度下的信用风险期限结构研究  

Study of credit risk term structure with stochastic default intensity

作　　者：梁世栋[1] 郭仌[1] 方兆本[1] 

机构地区：[1]中国科学技术大学统计与金融系,合肥230026

出　　处：《管理科学学报》2005年第4期74-79,共6页Journal of Management Sciences in China

摘　　要：构造了信用风险期限结构的框架性模型,属于强度模型流派.并讨论了两因子模型的例子,给出了可违约债券的价格解析表示式,最后分析了信用风险衍生产品的定价问题.The credit risk pricing model constructed in this paper belongs to the Intensity Model Category. We constructed the frame model for term structure model of credit risk, discussed the example of two-factors models and got the closed-form solution to the price of default-able bonds. Finally, we analyzed the pricing problem of credit risk derivatives.

关 键 词：信用风险 期限结构 定价 强度模型 

分 类 号：F830.91[经济管理—金融学]