一个可违约零息债券双因素强度定价模型及其极大似然估计  

A Two-factor Intensity Pricing Model for Defaultable Bonds and Its Maximum Likelihood Estimation

作　　者：陆金荣[1] 陈荣达[1] 

机构地区：[1]浙江财经学院金融学院,浙江杭州310018

出　　处：《系统工程》2010年第11期21-25,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(70771099);2009年浙江省大学生科技创新活动(新苗人才计划)项目

摘　　要：可违约零息债券同时面临着违约风险和市场风险(利率风险),本文在信用风险强度定价模型的框架下,假设状态过程的两个分量在实际世界为相互独立的CIR过程,而无风险瞬时利率和违约强度与状态向量成仿射关系,允许利率和违约强度相关,建立了可违约零息债券的双因素强度定价模型。模型的仿射假设不仅很好体现了市场变量的特性,还解析的表示出了可违约零息债券的价格和模型参数估计的似然函数,最后选用国内短期融资券的价格和一周Shibor利率对模型作出参数估计。Defaultable zero-coupon bonds face default risk and market risk（interest rate risk） simultaneously.Under the frame of the intensity pricing model,this paper proposes a two-factor intensity pricing model for defaultable bonds.We assume a state vector of two independent CIR processes in the real world;also,we assume that the default-free interest rate and the default intensity are affine functions of the state vector such that the two are allowed to be correlated with each other.The affine hypothesis of the model can not only reflect the characteristic of the market variables,but also give a closed-form pricing formula of a defaultable zero-coupon bond and the likelihood function for the parameter estimation.Finally,we estimate the parameters of the model using the prices of the Short-term Commercial Paper and the one-week Shibor.

关 键 词：违约强度 仿射过程 双因素 极大似然估计 可违约零息债券 

分 类 号：F830[经济管理—金融学]