欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
公司债券是一种可违约风险债券.公司债券定价的约化模型将违约时间定义为具有违约强度的绝不可及时，将违约过程看作跳过程.违约过程的强度过程既可依赖外生宏观状态变量，也可以受到其他公司违约的影响.本文分析了违约强度过程的构造，给出了风险债券的定价原理，得到了可违约债券定价的一般公式，并推导出了交易对手风险存在时公司债券定价公式.
英文摘要：
Bonds issued by a firm are risk and take on the firm＇s credit risk. The fair valuation for the bond is the pricing for the firm＇s credit risk actually. In a reduced form model for pricing the corporate bonds,the default time is totally inaccessible and the default process is a jump one whose intensity can dependent on the state variables and the eounterparty risk as well. This paper analyzes the modeling of default intensities,provides the principle for valuation a risky bond,and presents the general pricing formula. The fair price for a risky bond is also obtained in the case that there is attenuating counterparty risk to the issuer.
同期刊论文项目
同项目期刊论文
strong law of large numbers and asymptotic equipartition property for nonsymmetric Markov chain fiel
Discrete time mean-variance analysis with singular second moment matrixes and an exogenous liability
The minimal entropy and the convergence of the p-optimal martingale measures in a general jump model
期刊信息
位置：