一类重随机Poisson过程在信用风险定价模型中的应用

The Application of Doubly Stochastic Poisson Process in Credit Risk Intensity Models

运用带随机尺度因子的重随机Poisson过程描述信用衍生产品的违约可能 ,在违约强度λ(t)是随机变量的情况下得到违约时间τ的分布密度函数 。

In this paper, a doubly stochastic poisson process with intersity process λ(t)=X×y(t) is used to describe the process of default. We obtain the distribution density function of default time and the solution of this intensity models.