中文摘要：

可违约债券一旦一个信用违约事件突发后，可导致一系列的可违约债券的相续违约，通过对可违约债券组合风险集成度量进行研究，为金融机构进行金融应急管理和科学决策提供理论依据，同时有利于金融机构完善金融系统在这方面应急处置机制．针对可违约债券组合中的信用一市场风险相关性和各债务人信用相关性，可从不同风险类型识别出的共同的风险驱动因子出发构建风险整合框架．假设债券的违约强度仿射地依赖于系统市场风险因子、系统信用风险因子、特质信用风险因子等组成的基础状态向量，推导出了基于三因子仿射强度的可违约债券价格，把可违约债券双因子强度定价模型拓展为三因子强度定价模型．在此基础上，建立了可违约债券组合风险集成度量的MonteCarlo方法，得出同一个风险计算期下反映市场风险和信用风险这两类风险的损失分布，进而能求得组合的VaR值，在同一个框架下同时捕捉可违约债券的两类风险．最后运用提出的基于三因子仿射强度的风险集成度量模型对短期融资券组合的风险进行数值计算，并与基于双因子仿射强度的风险集成度量模型得到的VaR值进行比较分析．

英文摘要：

Defaultable bond is a bond that once an credit default event bursts out, a series ot （lelaulta01e bonds may default consecutively. Through the study on the integrated risk measurement of defaultable bond portfolio, it would provide the theory basis of financial emergency management and scientific decision making for financial agents and is also beneficial for the improvement of financial system in the aspects of emergency disposal mechanism. To consider both the correlation between credit risk and market risk and the correlation of credit risk among obligors in portfolio, this paper constructs a risk integrated framework from common risk driving factors identified by different risk types. We assume default intensity is affine dependent on underlying state vector, including systematic market risk factors, systematic credit risk factors, idiosyncratic credit risk factors, so that we deduct defaultable bond price under the frame of three-factor affine intensity, and expand the two-factor intensity pricing model for defaultablebond to three-factor intensity price model. On the basis of above, we then propose a Monte Carlo Method of calculating integrated-risk for defaultable bonds portfolio, and give loss distribution which reflects credit risk and market risk in the same horizon, so that we can get VaR for portfolio and capture the two types of risks of the defaultable bond portfolio. Finally, we illustrate the application of the integrated-risk measurement model under the frame of three-factor affine intensity by computing the integrated-risk VaR of short-term commercial paper portfolio, and compare with the result gotten by two-factor alTine intensity pricing model.