分时段公司债券的违约相关性研究

On the default correlation of the time-interval corporate bond

用偏微分方程的方法,研究当子公司违约时,母公司的公司债券的定价问题.在随机利率的假定下,利用约化的方法,对公司债券分时段进行分析,给出了母公司的公司债券的数学模型和显示表达式,并讨论了违约相关性的金融意义.

Using partial differential equations, we study the pricing problems of the parent corporate bonds when the subsidiary corporation defaults. Under the assumption of stochastic interest rate, the corporate bond of the time-interval has been analyzed by the reduced form method. The mathematical model of the parent corporate bonds and the explicit expression are obtained. Finally, the financial meaning of the default correlation is discussed.