摘要
为了更好地处理信用增进措施对于公司债券定价的影响问题,在随机利率模型下,考虑含有担保和违约负相关信用增进因素公司债券定价问题.利用三家公司违约强度的传染性模型刻画三家公司因担保和违约负相关而形成的公司违约相关性结构,通过约化方法,描述了具有担保和违约负相关信用增进因素公司债券定价的按面值回收的约化模型,基于依条件独立法和信息流的平滑性原理,获得了公司债券定价的显式表达式,并分析担保和违约负相关信用增进因素所体现的公司债券信用增进功能和所隐含的违约传染性风险.
In order to better deal with the impact of credit enhancement measures on corporate bond pricing,under the stochastic interest rate model,this paper considers the pricing of company bonds with the credit enhancement factors of guarantee and default negative correlation.It applies the infective model of three companies’ default intensity to describe the default correlation structure of three companies triggered by the credit enhancement factors of guarantee and default negative correlation.Meanwhile,it describes the pricing reduction model for corporate bonds as a face value recovery with the credit enhancement factors of guarantee and default negative correlation through the reduction method.Moreover,the explicit expressions of company bonds pricing are obtained based on the conditional independence method and the smoothness principle of information flow,and the credit enhancement function and default infective risk triggered by guarantee and default negative correlation are analyzed.
作者
林建伟
王志焕
LIN Jianwei;WANG Zhihuan(School of Mathematics and Finance,Putian University,Putian 351100;Key Laboratory of Financial Mathematics(Putian University),Fujian Province University,Putian 351100;School of Mathematical Sciences,Huaqiao University,Quanzhou 362000)
出处
《系统科学与数学》
CSCD
北大核心
2021年第7期1938-1955,共18页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金资助基金(11471175)
福建省自然科学基金项目(2020J01909)
福建省社会科学规划项目(FJ2016B235)
省高校重点实验室开放课题(JR201805)资助项目
莆田市科技计划项目(2019RP001)资助课题
关键词
违约强度
信用增进
公司债券
定价
传染性风险
Default intensity
credit enhancement
company bonds
pricing
infective risk
