约化模型下的公司债券定价  

Valuation of a Corporate Bond in Reduced Form

作　　者：叶中行[1] 白云芬[1] 

机构地区：[1]上海交通大学数学系,上海200240

出　　处：《山西大学学报（自然科学版）》2008年第3期393-398,共6页Journal of Shanxi University(Natural Science Edition)

基　　金：国家重点基础研究发展计划(973项目2007CB814903);国家自然科学基金(70671069)

摘　　要：公司债券是一种可违约风险债券.公司债券定价的约化模型将违约时间定义为具有违约强度的绝不可及时,将违约过程看作跳过程.违约过程的强度过程既可依赖外生宏观状态变量,也可以受到其他公司违约的影响.本文分析了违约强度过程的构造,给出了风险债券的定价原理,得到了可违约债券定价的一般公式,并推导出了交易对手风险存在时公司债券定价公式.Bonds issued by a firm are risk and take on the firm＇s credit risk. The fair valuation for the bond is the pricing for the firm＇s credit risk actually. In a reduced form model for pricing the corporate bonds,the default time is totally inaccessible and the default process is a jump one whose intensity can dependent on the state variables and the eounterparty risk as well. This paper analyzes the modeling of default intensities,provides the principle for valuation a risky bond,and presents the general pricing formula. The fair price for a risky bond is also obtained in the case that there is attenuating counterparty risk to the issuer.

关 键 词：信用风险 违约相关 约化模型 违约传染 交易对手风险 

分 类 号：O211.9[理学—概率论与数理统计] F830[理学—数学]