| 可违约债券期限结构模型 |
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| 引用本文： | 梁世栋,郭仌,方兆本.可违约债券期限结构模型[J].系统管理学报,2005,14(2):166-170. |
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| 作者姓名： | 梁世栋 郭仌 方兆本 |
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| 作者单位： | 中国科学技术大学,统计与金融系,合肥,230026 |
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| 摘 要： | 在违约强度为随机过程、违约强度与利率相关、以及无风险债券市值回收的条件下,构造了可违约债券的期限结构模型,给出了可违约债券的价格表达式,并讨论了信用风险衍生产品的定价问题。本文构造的模型属于强度模型流派。
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| 关 键 词： | 信用风险 可违约债券 期限结构 强度模型 |
| 文章编号： | 1005-2542(2005)02-0166-05 |
| 修稿时间： | 2003年10月17 |
The Analysis of a Term Structure Model for Defaultable Bonds |
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| LIANG Shi-dong,GUO Bing,FANG Zhao-ben.The Analysis of a Term Structure Model for Defaultable Bonds[J].Systems Engineering Theory·Methodology·Applications,2005,14(2):166-170. |
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| Authors: | LIANG Shi-dong GUO Bing FANG Zhao-ben |
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| Abstract: | Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery,we constructed the term structure model of credit risk and got the closed-from solution of price of defaultable bonds.Finally,we discussed the pricing problem of credit risk derivatives.The credit risk pricing model constructed in this paper belongs to the intensity model category. |
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| Keywords: | credit risk defaultable bond term structure intensity model |
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