| 有跳风险的信用价差简化模型 |
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| 引用本文： | 邓国和,杨向群. 有跳风险的信用价差简化模型[J]. 湖南师范大学自然科学学报, 2007, 30(1): 5-9 |
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| 作者姓名： | 邓国和 杨向群 |
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| 作者单位： | 1. 广西师范大学数学学院,中国,桂林,541004
2. 湖南师范大学数学与计算机科学学院,中国,长沙,410081 |
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| 基金项目： | 国家自然科学基金资助项目(10571051406750513)，高校博士点基金资助项目(20040542006)，广西师大博士基金资助项目(2006E19) |
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| 摘 要： | 假定即时利差过程存在跳风险并与无风险的即时利率相关,建立了两因素信用价差简化模型.利用随机分析和偏微分方程的方法,讨论了违约债券的信用价差和违约概率的期限结构,并应用数值算例分析了期限结构的变动规律.结果表明该模型能较好地拟合实际.
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| 关 键 词： | 跳风险 信用价差 违约债券 |
| 文章编号： | 1000-2537（2007）01-0005-05 |
| 收稿时间： | 2006-12-12 |
| 修稿时间： | 2006-12-12 |
Credit Spreads in Reduced-form Approach with Jump Risks |
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| DENG Guo-he,YANG Xiang-qun. Credit Spreads in Reduced-form Approach with Jump Risks[J]. Journal of Natural Science of Hunan Normal University, 2007, 30(1): 5-9 |
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| Authors: | DENG Guo-he YANG Xiang-qun |
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| Affiliation: | 1. School of Mathematics Science, Guangxi Normal University, Guilin 541004, China; 2. College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081, China |
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| Abstract: | A two-factor reduced-form model on the instantaneous spread with jump risks is developed,where there exists the correlation between the spot interest rate and the instantaneous spread.The term structures of both credit spreads and default probability for defaultable bond are discussed,and are also analyzed with numerical examples.The results show that this model is capable of fitting the fact. |
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| Keywords: | jump risks credit spread defaultable bond |
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