分数O-U过程下信用风险结构化模型

Structural Credit Risk Model Driven by Fractional O-U Process

传统的信用风险结构化模型中用几何布朗运动来驱动,已被证明与实际存在较大差距。取而代之,用分数指数O-U过程来驱动资产价值可以更加接近实际,利用相关的随机分析理论得到了违约概率、企业债券与股票价值和信用价差的表达式。

Traditional structural credit risk model is driven by geometric Brown motion. It is proved that this model has a large difference between its theory and practice. The firm asset obeys fractional exponential O--U process, which will approach the practice more exactly in stead of geometric Brown motion. The explicit solutions of default probability, corporate bond,stock price and credit spread can be gotten by means of related stochastic analysis theory.