违约风险型金融工具估值的主流理论及最新进展

Main Theories and New Developments of Default Risk Related Financial Instruments Valuation

阐述了国际上为两类主要的违约风险型金融工具(违约风险型证券和违约风险型互换)进行估值的主流理论,对M erton模型、结构形式模型和简化形式模型进行了比较,分析了各自的优势与不足,介绍了该领域的最新进展,指出了现有估值模型的缺陷所在。

This article analyzes the valuation of two main default risk related financial instruments： default risk related securities and default risk related swaps. It introduces the main models including Merton model, structural model and reduced-form model, and compares their merits and deficiencies. Moreover, the article introduces the new developments and discusses the space to improve.