信用衍生工具估值模型研究

Study of the model of credit derivatives

为了解决信用衍生工具定价问题,在扩散过程的基础上,引入的跳跃过程描述突发性违约事件,建立了基于跳跃—扩散过程的信用衍生工具的估值模型,从而克服了传统结构化估值模型中,不会发生不可预测违约的缺陷。

This paper develops a model of pricing credit derivatives by modeling the evolution of firm value as a jump-diffusion process. Under the jump-diffusion process, a firm can default instantaneously because of a sudden drop in its value.