基于VaR的信用风险定价

Pricing of Credit Risk Based on VaR

将VaR方法引入到可违约债券定价模型中,发现当可违约债券的在险价值超过确定的边界时,债券发生违约。本文分析了违约边界可能形式,给出在无风险利率为常数时的定价公式,提出可以利用Monte Carlo来求解价格公式,并得到数值解,还分析了当无风险利率随时间变化时的情形。

In this paper,we study the pricing of default risk in the structural credit risk model.VaR was treated as a kind of important risk management method,and encouraged by Basel Commission.We introduce the method of VaR into the pricing model of credit risk and assume the default time is the time which the VaR from market excesses the VaR of deterministic value.We analyze the value of the zero-coupon bond and suggest that we can use Monte Carlo method to obtain the pricing of bond.We also consider the value of bond in the situation in which the risk-free rate is the deterministic function of time.