具有违约负相关关联公司债券定价分析  

Research on the Pricing of Associated Corporate Bonds with Default Negative Correlation

作　　者：林建伟 李慧敏 LIN Jianwei;LI Huimin(School of Mathematics and Finance,Putian University,Putian Fujian 351100,China)

机构地区：[1]莆田学院数学与金融学院,福建莆田351100

出　　处：《莆田学院学报》2018年第5期1-5,14,共6页Journal of putian University

基　　金：国家自然科学基金资助项目(11471175;11001142);福建省科技重点项目(jy2016xsj01);福建省自然科学基金资助项目(2016J01678);福建省社会科学规划项目(FJ2016B235);福建省创新创业教学改革项目(FBJG20180340)

摘　　要：采用基于违约强度的双曲衰减传染性模型描述具有违约负相关关联公司违约相互依赖性结构,利用约化法,在随机利率背景下建立了多方关联公司债券定价的数学模型,获得债券定价显式表达式,并分析违约负相关对公司债券定价的影响。Based on the hyperbolic decay contagious model of default intensity,the default interdependence structure of associated com panies with default negative correlation was explained in this paper.By usingreduction method,the pricing mathematical model of the associated company bond was established under thebackground of stochastic interest rates.The explicit pricing expressions of the associated company bond werederived.Moreover,the effect of default negative correlation on the pricing of corporate bonds was analyzed.

关 键 词：违约负相关 关联公司 债券 定价 违约强度 约化法 

分 类 号：O141.4[理学—数学] F832.51[理学—基础数学]