随机利率背景下具有多方担保公司债券的定价  

Pricing of multi-party guarantee corporate bonds in the context of stochastic interest rates

作　　者：林建伟 李慧敏 Lin Jianwei;Li Huimin(Department of Mathematics and Finance,Putian University,Putian 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：《系统工程学报》2020年第5期632-641,共10页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(11471175,11001142);福建省科技重点资助项目(jy2016xsj01);福建省自然科学基金资助项目(2016J01678);福建省社会科学规划资助项目(FJ2016B235);莆田市科技计划项目(2019RP001).

摘　　要：在随机利率背景下,基于公司违约强度的相互依赖性结构刻画因担保而形成的公司违约相互依赖性结构,采用约化方法,考虑具有多方担保公司债券的定价问题,建立了多方担保公司债券定价的数学模型,获得了定价的显式表达式,并分析随机利率风险和担保风险.Under the background of stochastic interest rates,this paper considers the pricing of the multiparty guarantee corporate bonds by the reduction method.It models the mutual dependence structure of three corporate defaults by the default intensity contagion process.Moreover,it establishes the mathematical model of the multi-party guarantee corporate bond and obtains the corresponding pricing formulae.At last,this paper analyses the financial significance of the stochastic interest rate risk and the guarantee risk.

关 键 词：约化方法 随机利率 多方担保 公司债券定价 违约强度 

分 类 号：F830[经济管理—金融学]