债券违约风险的或有要求权分析

Contingent Claim Analysis on Bond Default Risk

债券违约风险的或有要求权分析方法建立在现代金融理论基础上,它有效了解决财务数据以离散方式披露造成的信息滞后,有利于及时、全面地反映债务人变化迅速的动态风险。通过BSM定价模型可获得债券的风险中性违约概率、真实世界违约概率和违约风险价差。目前模型已经拓展到适用于不同债券品种、契约结构和随机利率等情况的违约分析,同时也考虑了内生违约、提前违约、突然违约等现实条件,但或有要求权分析方法在国内的应用条件尚不成熟。

Based on modern Finance Theory , contingent claim analysis on bond default risk helps to solve the problem of information delay resulted from the discrete disclosure of corporate financial report. As a result, this method offers possibility in monitoring the rapid changes in the debtor's default risk. In the light of BSM pricing model,information can be obtained of risk-neutral default probability, actual default probability and the default risk spread. Presently, this model has been applied in default analysis of different types of bonds, different indenture provisions and stochastic interest rates, also covering areas like endogenous default, default before maturity and sudden default. However, there is still a long way to go before this method is applied to China's bond market.