摘要翻译:
在违约强度随机的情况下,给出了同时存在预期违约和非预期违约的企业违约债券的解析定价公式。利用PDE方法,在不变短期利率和外生违约恢复的情况下,给出了在以下条件下可违约债券的定价公式:1)预期违约恢复与预期违约恢复相同;(2)违约强度服从Willmott模型的3种特例之一;3)违约强度与企业价值不相关。然后我们推导了一个信用违约互换的定价公式。在随机短期利率和外生违约恢复的情况下,利用PDE方法,在以下条件下给出了违约债券的定价公式:1)预期违约恢复与预期违约恢复相同;2)短期利率服从Vasicek模型;3)违约强度服从Willmott模型的3种特例之一;4)违约强度与企业价值无关;5)违约强度与短期利率无关。
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英文标题:
《Analytical Pricing of Defaultable Bond with Stochastic Default Intensity》
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作者:
Hyong-Chol O, Ning Wan
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最新提交年份:
2013
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1)expected default recovery is the same with unexpected default recovery; 2) default intensity follows one of 3 special cases of Willmott model; 3) default intensity is uncorrelated with firm value. Then we derived a pricing formula of a credit default swap. And in the case of stochastic short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1) expected default recovery is the same with unexpected default recovery; 2) the short rate follows Vasicek model; 3) default intensity follows one of 3 special cases of Willmott model; 4) default intensity is uncorrelated with firm value; 5) default intensity is uncorrelated with short rate. Then we derived a pricing formula of a credit default swap. We give some credit spread analysis, too.
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PDF链接:
https://arxiv.org/pdf/1303.1298