随机利率背景下具有多方担保公司债券的定价 |
Pricing of multi-party Guarantee corporation bonds in the context of stochastic interest rates |
摘要点击 1339 全文点击 0 投稿时间:2018-04-25 修订日期:2018-10-27 |
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中文关键词 约化方法, 随机利率, 多方担保, 公司债券定价, 违约强度 |
英文关键词 Reduction method, stochastic interest rate, multi party guarantee, corporate bond pricing, default intensity |
基金项目 国家自然科学基金项目(11471175, 11001142),福建省科技重点项目(jy2016xsj01); 福建省自然科学基金资助项目(2016J01678);福建省社会科学规划项目(FJ2016B235); 福建省出国留学基金资助 |
作者 | 单位 | 邮编 | 林建伟 | 莆田学院 | 351100 | 李慧敏 | 莆田学院 | |
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中文摘要 |
为了更好地处理市场随机利率风险和担保风险问题,综合运用随机分析理论和约化方法,在随机利率背景下,通过公司违约强度的相互依赖性结构来刻画因担保而形成的公司违约相互依赖性结构,建立了多方担保公司债券定价的数学模型,获得了相应定价的显式表达式,进而基于定价结果对随机利率风险和由于担保所隐含的信用风险进行金融意义分析。 |
英文摘要 |
In order to better deal with the market random interest rate risk and the guarantee risk problem, the pricing problem of the multi-party guarantee corporate bond under the random interest rate background is studied by using the stochastic analysis theory and the reduction method. The mutual dependence structure of three corporate defaults is modelled by the default intensity contagion process. The mathematical model and the corresponding pricing formulae are both obtained. At last, the financial significance of the stochastic interest rate risk and the credit risk implied by the guarantee is analyzed based on the pricing results. |
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