考虑汇率风险的可违约债券定价模型

Default bond pricing model with exchange rate risk

分析了具有汇率风险的可违约债券的定价问题.分别探讨了债券面值以国内货币计价发行、以国外货币计价发行和汇率设置下限时的3种情形下可违约债券的定价问题,并分别在3种情形下建立了信用风险模型,得到了债券的价格公式,债券的违约概率公式和信用价差的表达式.最后通过数值模拟,分析了债券违约概率和信用价差的期限结构,并分析了资产波动率和汇率波动率对信用价差和违约概率的影响.

This paper is concerned with the pricing of the quanto default bonds under exchange rate risk. The pricing of the bonds is discussed in three cases： the domestic currency, the foreign currency and the exchange rates with lower limit. In each case, the credit risk model is established and the pricing formulas of default bonds, default probability and the credit spreads are obtained. Finally, the default probability and credit spreads term structure are analyzed through numerical simulation.