一种基于违约强度过程的风险债券估值模型的注记

A Model of Estimating Risky Bonds Based on Fault Intensity Process

文献[1]作者将违约看作具有不确定性的随机强度过程,并考虑了违约强度与无风险利率的相关性,放弃了传统的公司价值服从连续扩散过程的假设,克服基于Black-Scholes期权定价理论的结构化模型的局限,企图为带有违约风险的债券提供一种现实的定价方法,建立了一个基于违约强度过程的风险债券估值模型,但该模型出现了明显的错误,文章予以纠正。

Regarding fault as a stochastic intensity process with uncertainty, and taking the relation between fault intensity and risk-free rate of interest into consideration, the author （See Reference Books No. 1） discarded the traditional assumption that firm value should abide by the constant diffusion process, over- came the limitations in the structural model of the Option Pricing Theory proposed by Black-Scholes and built a model of estimating risky bonds based on fault intensity process in an attempt to offer a practical pricing method for bond with fault risk. However, obvious mistakes are found in the model and this paper aims to correct these mistakes.