| 分数布朗运动下信用风险结构模型 |
| |
| 引用本文： | 李慧玲. 分数布朗运动下信用风险结构模型[J]. 甘肃联合大学学报(自然科学版), 2007, 21(5): 23-26 |
| |
| 作者姓名： | 李慧玲 |
| |
| 作者单位： | 西安工程大学,理学院,陕西,西安,710048 |
| |
| 摘 要： | 假设企业资产价值的波动以真实概率服从分效布朗运动,在此基础上推算出时度量信用风险的:公司的违约概率公式,风险债券的价格公式,股票的价格公式以及风险溢价公式等,并且得到在这样的假设条件下画出的信用风险溢价随着资产价值波动项变化而呈现的不同走势接近实证结论.
|
| 关 键 词： | 分数布朗运动 标准正态分布 标准正态分布函数 违约概率 风险债券 风险溢价 |
| 文章编号： | 1672-691X（2007）05-0023-04 |
| 修稿时间： | 2007-04-11 |
Structural Modeling of Credit Risk in Fractional Brownian Motion Environment |
| |
| LI Hui-ling. Structural Modeling of Credit Risk in Fractional Brownian Motion Environment[J]. Journal of Gansu Lianhe University :Natural Sciences, 2007, 21(5): 23-26 |
| |
| Authors: | LI Hui-ling |
| |
| Abstract: | In this paper,the authors make assumptions about the distribution of assets at debt maturity under the physical probability.The standard model for the evolution of asset prices over time is fractional Brownian motion.On this basis the authors calculate out the formula of the probability of default,the formula of the credit-risky bonds,the formula of the value of the equity and the formula of the credit spread at time.Also,it is obtained that the structure of credit spreads for varying asset volatilities in the classical approach will approch the factional conclusion nearly. |
| |
| Keywords: | Fractional Brownian Motion standard normal distribution standard normal distribution function probability of default credit-risky bonds credit spread |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
