泊松信息披露与具有关联违约风险的债券定价  

Poisson information disclosure process and the pricing of bond with correlated default risk

作　　者：胡吉卉[1] 简志宏[2] 李楚霖[1] 

机构地区：[1]华中科技大学数学系,湖北武汉430074 [2]华中科技大学经济学院,湖北武汉430074

出　　处：《系统工程学报》2007年第2期134-140,147,共8页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(70301003)

摘　　要：在信息非完全的情形下研究了简约化模型中具有关联违约风险的债券定价问题,假设关于初级公司是否违约的信息披露服从泊松过程,得到了5种参数情况下次级公司零息票债券价格公式.分析表明,当信息流的到达率趋于零时,初级公司是否违约对次级公司没有影响;当信息流的到达率趋于无穷时,定价公式类似于完全信息情形;同时讨论了不同情形下信息披露和关联违约对公司债券定价的影响.最后通过具体的计算实例,进一步揭示了信息流的到达率对次级公司债券价格的影响.In this paper, we analyze the valuation of correlated default bond in reduced form under incomplete information. Suppose that the arrival of information flow is followed by a Poisson process about primary firm default or not, we get the formulas of secondary firm＇ s zero-coupon bond price with five parameters type. The results show that the primary firm default or not is independent of the secondary firm when the arrival rate of information flow goes to zero, while the formulas of bond price are same as the case of perfect information when the arrival rate of information flow goes to infinity. Moreover, this paper discusses how information disclosure and correlated default affect the pricing of bond in different cases. Finally, the relation between secondary firm＇ s bond price and the arrival of information flow is obtained on the basis of examples.

关 键 词：非完全信息 关联违约 债券定价 

分 类 号：F830.91[经济管理—金融学]