不可预料违约风险的中小企业集合债券定价  

Pricing mechanism of SMEs' collective bonds with unexpected default risks

作　　者：张琦[1] 陈晓红[2] 

机构地区：[1]湖南商学院财政金融学院,长沙410205 [2]中南大学商学院,长沙410083

出　　处：《系统工程理论与实践》2010年第5期797-802,共6页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金(09BJY101);湖南省社科规划基金(09YBB235);长沙市软科学研究基金(K0902251-41)

摘　　要：通过引进一个几何类型的衰减函数来表示中小企业集合的违约强度,研究在不可料违约发生首次跳的假设下,结合结构模型和约化模型,建立中小企业集合债券与无风险债券利差计量模型,根据Vasicck模型在等价鞅测度下确定的无风险瞬时利率rt所确定的无风险债券定价模型和中国债券市场实际情况设定假设条件,进行蒙特卡罗模拟仿真检验,求得中小企业集合债券价格的显式解,A pricing model of the small-medium enterprises＇（SME＇s）collective bonds with unexpected default risks has been presented in this paper.Even more,a geometrical attenuation function is introduce to reflect the corrected the unexpected default risk of intensities.We obtained the logical pricing mechanism of credit spread when an exogenous default process jumps for the first time.Furthermore,we achieved the pricing model of SMEs＇ collective bonds as the spot interest rate is assumed to follow Vasicek model.Finally, we tested the pricing model with one thousand times Monte Carlo simulations and offered theoretical background and empirical evidence for financial innovation as well.

关 键 词：中小企业 集合债券 信用利差 蒙特卡罗模拟 

分 类 号：F830.9[经济管理—金融学]