具有信用等级迁移风险的零息债券定价  

Valuation of Zero-Coupon Bonds with Credit Rating Migration Risk

作　　者：梁进[1] 肖承志[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2015年第8期1284-1288,共5页Journal of Tongji University:Natural Science

基　　金：国家自然科学基金(11271287)

摘　　要：建立具有信用等级迁移和违约风险的零息票债券的定价模型.在约化方法下,模型转换为偏微分方程组终值问题.在进一步假设参数为常数下,得出每个等级债券价格的解析解和大小关系.作图展示了其数值解,并分析了参数对债券价格的影响.A model was established to price of a zero-coupon bond whose issuer has credit rating migration risk. A problem of partial differential equations with terminal conditions was obtained by using the reduced form approach. The explicit solution of the bond price in each credit rating and their relations were obtained under some further constant- parameter assumptions. Numerical results were shown by graphs with analyses of sensitive factors.

关 键 词：信用等级迁移 零息票债券 约化方法 强度模型 偏微分方程组 

分 类 号：F830[经济管理—金融学]