一般违约强度下的可违约债券的期限结构及其应用

发布时间：2018-04-08 16:42

本文选题：可违约债券　切入点：违约强度　出处：《上海交通大学》2014年硕士论文

【摘要】：随着金融市场的不断发展，信用在市场经济中的影响日益深远，信用风险特别是可违约风险的研究已成为现在金融研究领域的一个热点。特别是在金融危机爆发之后，，多家银行倒闭使得人们对于银行间的信用风险有了更多的关注，银行间相互借贷的可违约性不再被忽视，同时许多以此为标的的利率衍生品的定价也有所改变。本文研究了可违约零息债券的期限结构以及相关利率衍生品的定价问题。首先，本文利用CIR利率模型构建无违约债券；然后本文通过扩大无违约域流以及设定违约强度这两个方面刻画出可违约债券的形式，接着我们计算出了这种存在违约风险的可违约零息债券价格的显示表达式；接着，本文重点讨论了可违约LIBOR，刻画了可违约LIBOR的形式并且推导出了具体的表达式；最后本文选取了远期利率互换以及利率掉期这两种常见的利率衍生品，基于前文所推导的可违约Libor的结果对这两种利率衍生品进行了定价并且计算出了具体的表达式。
[Abstract]:With the continuous development of the financial market, the influence of credit in the market economy is more and more far-reaching. The research of credit risk, especially the risk of default, has become a hot spot in the field of financial research.Especially after the outbreak of the financial crisis, many bank failures have made people pay more attention to the credit risk between banks, and the default ability of banks to lend to each other is no longer ignored.At the same time, the pricing of many interest rate derivatives has also changed.In this paper, the term structure of defaultable zero-interest bonds and the pricing of interest rate derivatives are studied.First of all, this paper uses CIR interest rate model to construct non-default bonds, and then this paper depicts the form of defaultable bonds by expanding the non-default domain flow and setting default intensity.Then we calculate the expression of the price of the defaultable zero coupon bond with default risk, and then, we focus on discussing the defaultable LIBOR, characterizing the form of the defaultable LIBOR and deducing the concrete expression.Finally, this paper selects forward interest rate swaps and interest rate swaps as two common interest rate derivatives, and calculates the expressions of these two interest rate derivatives based on the results of Libor.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

【共引文献】