一个可违约零息债券双因素强度定价模型及其极大似然估计

发布时间：2018-02-01 15:17

本文关键词： 违约强度仿射过程双因素极大似然估计可违约零息债券　出处：《系统工程》2010年11期 　论文类型：期刊论文

【摘要】：可违约零息债券同时面临着违约风险和市场风险(利率风险),本文在信用风险强度定价模型的框架下,假设状态过程的两个分量在实际世界为相互独立的CIR过程,而无风险瞬时利率和违约强度与状态向量成仿射关系,允许利率和违约强度相关,建立了可违约零息债券的双因素强度定价模型。模型的仿射假设不仅很好体现了市场变量的特性,还解析的表示出了可违约零息债券的价格和模型参数估计的似然函数,最后选用国内短期融资券的价格和一周Shibor利率对模型作出参数估计。
[Abstract]:Non-interest-bearing defaultable bonds are faced with both default risk and market risk (interest rate risk). This paper is based on the credit risk strength pricing model. It is assumed that the two components of the state process are independent of each other in the real world, and the risk-free instantaneous interest rate and default intensity are affine to the state vector, which allows the interest rate to be correlated with the default intensity. The two-factor intensity pricing model of defaultable zero-interest-bearing bonds is established. The affine assumption of the model not only reflects the characteristics of market variables. The price of defaultable zero-interest-bearing bonds and the likelihood function of model parameter estimation are also expressed analytically. Finally, the price of domestic short-term financing bonds and the one-week Shibor interest rate are selected to estimate the parameters of the model.
【作者单位】：浙江财经学院金融学院;
【基金】：国家自然科学基金资助项目(70771099) 2009年浙江省大学生科技创新活动(新苗人才计划)项目
【分类号】：F830.91
【正文快照】： 1引言可违约零息债券信用事件的理论刻画主要有两类基本方法,一类是基于公司资产价值的结构化模型,另一类是约化模型,其不直接考虑违约与公司价值的显性关系,将违约看成是强度过程所决定的某个计数过程的首次跳跃,这类模型也称为基于强度的约化模型。本文在强度定价模型的框

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