摘要
在简约化模型框架下,考虑担保机构的违约对集合发债融资的中小企业有违约传染的影响,通过引进一个几何双曲线衰减函数,得到了集合票据的定价公式,在此基础上对担保集合票据所隐含的信用风险进行分析.结果表明:担保机构的存在能显著降低集合票据的信用利差,提高其市场发行价格;且有担保下,担保机构的违约传染风险因子越大,相应的集合票据价格就越低,违约概率越大,信用利差越高,担保价值越低.
Under the reduced model framework,consider the default guarantee agencies to set bond financing of small and medium-sized enterprises have default contagion effect,by introducing a hyperbohc geometry attenuation function,get the pricing formulas on the basis of the guarantee set implied credit risk analysis,Results show that the existence of the guarantee agencies can significantly reduce the credit spreads of collection notes,improve its market price;And secured,the default contagion risk factors of guarantee agencies,the greater the corresponding collection notes the lower the price,the greater the probability of default,the higher credit spreads,the less collateral value.
出处
《数学的实践与认识》
北大核心
2017年第7期44-56,共13页
Mathematics in Practice and Theory
基金
国家自然科学基金(11101186
71202007)
2015湖南省教育厅高校科研一般项目(15C1156)
关键词
简约化模型
违约传染
双曲线衰减函数
信用风险
reduced model
default contagion
hyperbolic attenuation function
credit risk
