基于随机强度的公司债券估值模型与仿真分析  

Valuing Corporation Bond with Stochastic Intensity Process

作　　者：潘杰义[1] 王琼[2] 冯宗宪[2] 

机构地区：[1]西北工业大学管理学院,陕西西安710072 [2]西安交通大学应用经济博士后流动站,陕西西安710049

出　　处：《南昌大学学报（理科版）》2006年第3期303-306,共4页Journal of Nanchang University(Natural Science)

基　　金：国家自然科学基金资助项目(70171005)

摘　　要：公司债券是一种风险型债券,本文首先对风险型公司债券的价值进行了分析,将违约看作具有不确定性的随机强度过程,建立了基于随机强度的公司债券估值模型,并在考虑市场风险与违约风险相关性的条件下对模型进行求解,最后应用蒙特卡罗模拟对模型进行仿真,给出仿真结果。A stochastic intensity based model is built, in which the default process is modeled as a stochastic intensity process and the extended Vasicek term structure model is also used not only for the default -free spot rates but also for the intensity process of default. Finally, the model of Corporation Bond with Stochastic Intensity is developed. An analysis is Carried out based on Monte Carlo Simulation.

关 键 词：违约 公司债券 随机强度 

分 类 号：F830[经济管理—金融学]