简约化方法下信用风险债券的定价

发布时间：2018-04-25 18:16

本文选题：信用风险 + 违约强度　；参考：《统计与决策》2010年06期

【摘要】：文章运用违约事件建模的概率化结论,给出了信用风险债券定价的简约化拓展模型,并将不同情况下的信用风险债券定价公式纳入了统一的框架。推导并给出了违约债券价值为0的贴现债券的价值表达式,文章最后论证了关于拥有比例回收函数的风险贴现债券的Duffie-Singleton公式的推导。
[Abstract]:Based on the probabilistic conclusion of default event modeling, this paper gives a simplified extension model of credit risk bond pricing, and puts the pricing formula of credit risk bond under different circumstances into a unified framework. This paper deduces and gives the value expression of the discount bond with the value of 0. Finally, the paper proves the derivation of the Duffie-Singleton formula of the risk discount bond with the proportional recovery function.
【作者单位】：华东政法大学商学院;
【分类号】：F830.91;F224

【参考文献】