分数布朗运动下信用风险结构模型  

Structural Modeling of Credit Risk in Fractional Brownian Motion Environment

作　　者：李慧玲[1] 

机构地区：[1]西安工程大学理学院,陕西西安710048

出　　处：《甘肃联合大学学报（自然科学版）》2007年第5期23-26,共4页Journal of Gansu Lianhe University :Natural Sciences

基　　金：陕西省教育厅自然科学专项基金项目(05JK207)

摘　　要：假设企业资产价值的波动以真实概率服从分数布朗运动,在此基础上推算出时度量信用风险的:公司的违约概率公式,风险债券的价格公式,股票的价格公式以及风险溢价公式等,并且得到在这样的假设条件下画出的信用风险溢价随着资产价值波动项变化而呈现的不同走势接近实证结论.　In this paper,the authors make assumptions about the distribution of assets at debt maturity under the physical probability.The standard model for the evolution of asset prices over time is fractional Brownian motion.On this basis the authors calculate out the formula of the probability of default,the formula of the credit-risky bonds,the formula of the value of the equity and the formula of the credit spread at time.Also,it is obtained that the structure of credit spreads for varying asset volatilities in the classical approach will approch the factional conclusion nearly.

关 键 词：分数布朗运动 标准正态分布 标准正态分布函数 违约概率 风险债券 风险溢价 

分 类 号：O116.3[理学—数学]