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中文摘要：
通过引入泊松分布,使用对数正态分布来刻画资产价值突变幅度,构建了基于调跃扩散过程的担保物权未按比例分配担保价值模型。通过数值分析测算了资产的不连续变化特征对于担保价值的影响。结果表明：不考虑资产突变的传统模型低估了实际担保价值,尤其是针对中长期债务;突发事件的影响幅度比发生频率对担保风险影响更显著;担保方和借款方违约风险愈小,突发事件对担保价值影响愈显著;同时还发现资产相关性降低了担保价值,但加大了突发事件的影响作用。
英文摘要：
The paper introduces the Poisson process and lognormal distribution to describe the discontinuity and the effect of the unexpected event respectively,and establishes the loan guarantee model based on the Jump-diffusion process for the underlying asset when security interest is in no proportion.After numerical analysis,the results indicate loan guarantee value is bigger considering this discontinuity.The characteristic of the unexpected events on guarantee value is quite sensitive to the maturity of the debt,especially for the medium-long term debt,and the magnitude is more important than the frequency of the unexpected event.Additionally,we find the discontinuity of asset has the most severe effect on guarantee value when the correlation between the two is big and there is less probability for the borrower and guarantor to default.
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