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

公司持有其它公司股权时的违约传染性 被引量：2

Default Contagion While Firm Holds Shares of Other Firms
下载PDF
导出
摘要 讨论发行债券公司持有另一公司的股票时,公司所持股票公司的破产概率对公司本身的破产概率和债券定价的影响.对公司的破产采用约化方法和市价回收,在利率是随机假定下分别给出了债券定价和违约概率的显式表达式,并讨论了其金融意义. A study is made of the influence of the default of one company on another company and the bond pricing of the latter when the latter holds a part of the former company＇ s share. Based on the reduced form approach and market value recovery, under the assumption of stochastic interest rate, the close form formula for both the pricing of the bond and default probability are obtained. Finally, this paper presents a disussion on the financial meaning of the default contagion.
作者 任学敏
机构地区 同济大学数学系
出处 《同济大学学报（自然科学版）》 EI CAS CSCD 北大核心 2008年第5期702-706,共5页 Journal of Tongji University:Natural Science
基金 国家"973"重点基础研究发展计划资助项目(2007CB814903) 国家自然科学基金资助项目(1047110610671103)
关键词 公司债券 违约概率 违约传染性 约化方法 corporate bond default probability default contagion reduced form approach
分类号 F83 [经济管理—金融学]
  • 相关文献

参考文献12

  • 1Merton R. On the pricing of corporate debt:the risk structure of interest rates[J]. Journal of Finance, 1974,29:449.
  • 2Black F, Cox J C. Valuing corporate securities: some effects of bond indenture provisions[ J ]. Journal of Finance, 1976,31 : 351.
  • 3Zhou C. A jump-diffusion approach to modelling credit risk and valuing defaultable securities [R/OL]. Washington: Federal Reserve Board, 1997. [19971 - 03 - 25]. http://ssrn.com/abstract = 39800.
  • 4Jarrow R, Turnbull S. Pricing derivatives on financial securities subject to credit risk[J]. Journal of Finance, 1995,50: 53.
  • 5Jarrow R, Lando D,Turnbull S. A markov model for the term structure of credit risk spreads[J]. Review of Financial Studies, 1997,10:481.
  • 6Duffle D, Singleton K J. Modeling term structure of defaultablebonds[J]. Review of Financial Studies, 1999,12 : 687.
  • 7Duffie D, Lando D. Term structttre of credit spreads with incomplete accounting information[J ]. Econometrica, 2001,69: 633.
  • 8Gieseeke K. Correlated default with incomplete information[J]. Journal of Banking and Finance,2004,28:1521.
  • 9Giesecke K. Default and information[J]. Journal of Economic Dynamics and Control, 2006,30: 2281.
  • 10Jarrow R, Yu F. Cottnterparty risk and the pricing of defaultable securities[J]. Journal of finance,2001,56:1765.

同被引文献15

  • 1毕玉升,边保军.具可料和不可料违约的公司债券定价[J].同济大学学报（自然科学版）,2007,35(7):989-993. 被引量：3
  • 2JARROW R,LANDO D,TIRNBULL S.A markov model for the term structure of credit risk[J].Review of Financial Studies,1997,10(2):481-523.
  • 3DUFFIE D,SINGLETON K J.Modeling term strcture of defauhable bonds[J].Review of Financial Studies,1999,12:687-720.
  • 4HULL J C.Options,futures and other derivatives[M].4th ed.Beijing:Tsinghua University Press,2001.
  • 5MERTON R.On the pricing of corporate debt:the risk structure of interest rates[J].Journal of Finance,1974,29(2):449-470.
  • 6BLACK F,COX J C.Valuaing corporate securities:some effects of bond indenture provisions[J].Journal of Finance,1976,31:351-367.
  • 7ZHOU C.A jump-diffusion approach to modelling credit risk and valuing defaultable securities[R].Finance and Economics Discussion Series 1997-15/Board of Governors of the Federal Reserve System(US).
  • 8JARROW R,TURNBULL S.Pricing derivatives on financial securities subject to credit risk[J].Journal of Finance,1995,50(1):53-85.
  • 9MERTON R. On the pricing of corporate debt:the risk structure of interest rates [ J ]. J Finance, 1974,29 (2) :449 -470.
  • 10BLACK F, COX J C. Valuaing corporate securities:some effects of bond indenture provisions [ J ]. J Finance, 1976,31 (2) : 351 - 367.

引证文献2

二级引证文献1

同济大学学报（自然科学版）
2008年 第5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