混合模型下具有随机回收风险的公司债券定价  

Pricing of Corporate Bond with Stochastic Recovery Risk under the Hybrid Model

作　　者：潘坚[1,2] 肖庆宪[1] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]赣南师范学院数学与计算机科学学院,江西赣州341000

出　　处：《系统工程》2016年第7期1-7,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(11471175;11171221);上海市一流学科(系统科学)项目(XTKX2012)

摘　　要：利用风险对冲的方法和无套利原理建立了随机回收率与违约强度负相关的公司债券定价模型,并运用偏微分方程的方法得到了公司债券价格的解析定价公式,推广了相关文献的结论。最后通过一个算例分析了回收参数与违约强度参数对公司债券信用利差的影响,结果表明:回收参数和强度参数的改变会影响债券的信用利差;随机回收风险下的信用利差低于同期常数回收下的信用利差,即常数回收下的信用利差被高估。In this paper,apricing model for corporate bond is set up by the hedging method and the no arbitrage principle under the framework of the negative correlation between the recovery rate and the default density.Meanwhile,the closedform formula for the pricing of the corporate bond is obtained by means of PDE methods,which expand the results of relevant literature.In the end,some numerical examples are given to illustrate the influence of different recovery parameters and intensity parameters to the credit spread of the corporate bond.It is shown that the different recovery parameters and intensity parameters will affect the credit spread of the corporate bond and the credit spread of the constant recovery will be overvalued.

关 键 词：混合模型 随机回收率风险 公司债券 偏微分方程方法 定价 

分 类 号：O241[理学—计算数学] F830[理学—数学]