| 基于随机强度的公司债券估值模型与仿真分析 |
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| 引用本文： | 潘杰义,王琼,冯宗宪. 基于随机强度的公司债券估值模型与仿真分析[J]. 南昌大学学报(理科版), 2006, 30(3): 303-306 |
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| 作者姓名： | 潘杰义 王琼 冯宗宪 |
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| 作者单位： | 西北工业大学,管理学院,陕西,西安,710072;西安交通大学应用经济博士后流动站,陕西,西安,710049 |
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| 摘 要： | 公司债券是一种风险型债券,本文首先对风险型公司债券的价值进行了分析,将违约看作具有不确定性的随机强度过程,建立了基于随机强度的公司债券估值模型,并在考虑市场风险与违约风险相关性的条件下对模型进行求解,最后应用蒙特卡罗模拟对模型进行仿真,给出仿真结果。
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| 关 键 词： | 违约 公司债券 随机强度 |
| 文章编号： | 1006-0464（2006）03-0303-04 |
| 收稿时间： | 2005-03-10 |
| 修稿时间： | 2005-03-10 |
Valuing Corporation Bond with Stochastic Intensity Process |
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| PAN Jie-yi,WANG Qiong,FENG Zong-xian. Valuing Corporation Bond with Stochastic Intensity Process[J]. Journal of Nanchang University(Natural Science), 2006, 30(3): 303-306 |
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| Authors: | PAN Jie-yi WANG Qiong FENG Zong-xian |
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| Abstract: | A stochastic intensity based model is built,in which the default process is modeled as a stochastic intensity process and the extended Vasicek term structure model is also used not only for the default-free spot rates but also for the intensity process of default.Finally,the model of Corporation Bond with Stochastic Intensity is developed.An analysis is Carried out based on Monte Carlo Simulation. |
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| Keywords: | default corporation bond intensity process |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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