考虑相关性的第三方担保价值的评估  

Evaluation of Firm Bond with Correlated Third Party Guarantee

作　　者：刘易[1] 任学敏[1] 花虹[1] 

机构地区：[1]同济大学应用数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2013年第3期465-469,共5页Journal of Tongji University:Natural Science

基　　金：国家"九七三"重点基础研究发展计划(2007CB814903);国家社会科学基金(12BJY011)

摘　　要：在结构化模型的框架下,考虑到担保公司与被担保公司之间存在相关性时,因预付担保债务而导致资不抵债而违约的情况,得到有相关性的第三方担保的公司债券价格所满足的偏微分方程终边值问题.利用数值计算分析了公司资产值、资产相关性、资产波动率、公司回收率和债券发行量等因素对于债券价格的影响.This paper presents the pricing model for firm bond with the correlated third party guarantee in structural approach, which considers that the guarantor may default due to the immediate future payment caused by the default of the secured party. With the proposed model, a terminal boundaryvalue problem of partial differential equation （PDE） is derived. A numerical analysis is made of the impacts of the firm asset, asset correlation, asset volatility and some other factors on the bond prices.

关 键 词：公司债券 第三方担保 信用风险 结构化方法 

分 类 号：F832.48[经济管理—金融学]