可违约债券期限结构之离散模型

摘要/Abstract

摘要： 本文在违约强度为随机过程、违约强度与利率相关、以及无风险债券市值回收的条件下,构造了可违约债券的期限结构的离散模型。本文构造的模型属于强度模型流派。

Abstract: Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery of risk-free bonds,we constructed the discrete term structure model of defaultable bonds.This model belongs to the Intensity Model Category.

Key words: credit risk, term structure, discrete, intensity model

中图分类号:

F830.91

梁世栋, 郭仌, 方兆本. 可违约债券期限结构之离散模型[J]. 中国管理科学, 2004, (3): 1-6.

LIANG Shi-dong, GUO Bing, FANG Zhao-ben. The Analysis of a Term Structure Model for Defaultable Bonds[J]. Chinese Journal of Management Science, 2004, (3): 1-6.

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