期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

可违约债券期限结构之离散模型

The Analysis of a Term Structure Model for Defaultable Bonds
下载PDF
导出
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。 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.
作者 梁世栋 郭仌 方兆本
机构地区 中国科学技术大学统计与金融系
出处 《中国管理科学》 CSSCI 2004年第3期1-6,共6页 Chinese Journal of Management Science
关键词 可违约债券 期限结构 离散 强度模型 credit risk term structure discrete intensity model
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献25

  • 1Vasicek, O.An Equilibrium Characterization of the term Structure[J].Journal of Financial Economics, 1977, 5(2):177-188.
  • 2Weiss, L. A. Bankruptcy resolution:Direct costs and viola- tions of priority of claims [J].Journal of Financial Economics, 1990,27:285 - 314.
  • 3Brennan, M.J. And Schwartz, E.S.. Finite difference method and jump processes arising in the pricing of contingent claims[J]. Journal of Financial and Quantitative Analysis, 1978,23:1 - 12.
  • 4Bielecki, T. R. and M. Rutkowski. Credit risk; modeling,valuation and hedging[M]. Springer, 2002.
  • 5Jarrow, R.A., D. Lando, and S.M.Turnbull. A markov model for the term structure of credit risk spreads[J].The review of Financial Studies, 1997,10(2):481-523.
  • 6Jarrow, R.A., and S.M. Turnbull. Pricing Derivatives on Financial Securities Subject to Credit Risk [J].Journal of Finance, 1995,50 (1):53-85.
  • 7Jarrow, R.A.and Turnbull, S.M.. The intersection of market and credit risk [J].Journal of Banking and Finance, 2000,24: 271-299.
  • 8Lando,D.. On Cox processes and credit-risky securities[J]. Review of Derivatives Research, 1998,(2):99-120.
  • 9Longstaff, F. A. and Schwartz, E. S.. A simple approach to valuing risky fixed and floating rate debt [J].Journal of Finance, 1995,50:789-819.
  • 10Madan, D.B.and H.Unal. A two-factor hazard rate model for pricing risky debt and the the structure of credit spreads[J].Journal of Financial and Quantitative Analysis,2000,35(1):43-65.
中国管理科学
2004年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部