具有债务减免设计的信用敏感型证券定价  

Pricing the Credit Sensitive Securities with Debt-Relief Mechanic

作　　者：冯谦[1] 杨朝军[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《上海交通大学学报》2006年第9期1596-1599,共4页Journal of Shanghai Jiaotong University

基　　金：国家自然科学基金资助项目(70331001)

摘　　要：研究了信用敏感型证券的定价问题.通过区分“违约激发水平”和“债务减免激发水平”,在首达时间模型背景下推导出信用敏感型证券的定价公式,指出债务减免对定价的影响主要由回收率与债务减免额度的关系决定.这一模型把债务减免纳入传统的“违约-清算”结构,增强了首达时间模型对现实的拟合程度,使其应用范围得到推广.Considering the effects of debt-relief on the return of credit sensitive securities, a pricing model of those securities was constructed by distinguishing the ＂default-trigger barrier＂ and the ＂debt-relief-trigger barrier＂. It also found that the debt-relief may have positive or negative effects on the credit sensitive securities＇ price contingent on the relationship between the recovery rate and the debt-relief rate. The adaptation of debt-relief in the traditional ＂default and liquidation＂ structure not only extends the first-passage-time model but also interprets the real world better.

关 键 词：信用风险 债务减免 首达时间 

分 类 号：F830[经济管理—金融学]