摘要
在约化模型框架下,假设违约强度、随机利率和流动性风险均服从Hull-White模型,通过风险对冲方法推导出市值回收和面值回收情况下公司债券价格满足的偏微分方程定解问题,并求出封闭解.在此基础上,进一步考虑回收方式对公司债券信用利差的影响.
Under the framework of reduced form, supposing that the default intensity, the stochas- tic rate and the process of liquidity risk are governed by the Hull-White model, a pricing model for the corporate bond is established by the hedging method and the closed form solution is also derived by means of partial differential equations methods. Afterwards, the influence of different recovery means on the credit spread of the corporate bond is considered.
出处
《扬州大学学报(自然科学版)》
CAS
CSCD
北大核心
2012年第2期24-28,共5页
Journal of Yangzhou University:Natural Science Edition
基金
国家自然科学基金资助项目(11061001)
江西省教育厅青年基金资助项目(GJJ10235)
关键词
约化模型
流动性风险
公司债券
偏微分方程方法
reduced-form model
liquidity risks
corporate bond
partial differential equations meth-ods