交易对手风险下担保债券及债券担保合约的定价  

Valuation of Guaranteed Debt and Bond Guarantee Contracts with Counterparty Risk

作　　者：夏鑫[1] 杨招军[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《系统工程》2015年第8期84-89,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(71371068;71221001;71171078)

摘　　要：在简化模型框架内,采用一指数类型的衰减函数来描述发债企业与担保企业间违约强度具有单向依赖性的特点,建立了单向指数衰减违约传染模型,得到了两企业违约时间的联合条件密度函数。进而利用这类单向指数衰减违约传染模型给出了担保债券及债券担保合约的定价公式,并对合约中所隐含的交易对手违约风险进行了分析。Based on a reduced form model,an exponent attenuation function is introduced to represent the unilateral dependent characteristic of the borrowing firm and the guarantee firm defaults,and an unilateral exponent attenuation default contagion model is established.We derive the joint conditional density function of default time.And then the unilateral exponent attenuation default contagion model is applied to the valuation of guaranteed debt and bond guarantee contracts,and the implicit counterparty risk of guarantee contracts is discussed.

关 键 词：简化模型 指数衰减函数 联合条件密度函数 违约风险 

分 类 号：F830[经济管理—金融学]