三家互相担保中小企业债券定价和风险分析  

Valuation and Risk Analysis of Three Mutually Guaranteed Small and Medium Sized Enterprise Bonds

作　　者：林建伟[1] 雷周挺[1] 

机构地区：[1]莆田学院数学与应用数学系,福建莆田351100

出　　处：《莆田学院学报》2012年第2期1-6,共6页Journal of putian University

基　　金：国家自然科学基金资助项目(11001142);福建省重点高校服务海西项目(2008HX03);福建省教育厅资助项目(JA10231;JK2011051)

摘　　要：通过三家中小型企业违约强度的相互依赖性结构来刻划因互相担保而形成的企业违约相互依赖性结构,利用约化方法构建了三家互相担保中小企业债券定价的数学模型,获得了相应的定价表达式,并对所隐含的违约传染进行风险分析。This article studies the mutual guarantee phenomenons among the small and medium sized enterprise through contagion default intensity process.The pricing mathematical models of mutually guaranteed enterprise bonds are established by reduced method,and the corresponding pricing formulas are given.Simultaneously,we analyze the credit contagion risk arising from mutually guarantee among three enterprises.

关 键 词：企业债券 互相担保 约化法 违约强度 违约传染 

分 类 号：O231.3[理学—运筹学与控制论] F830.91[理学—数学]