| 多重可违约基金的定价 |
| |
| 引用本文： | 简志宏,李楚霖.多重可违约基金的定价[J].高校应用数学学报(英文版),2002,17(3):335-343. |
| |
| 作者姓名： | 简志宏 李楚霖 |
| |
| 作者单位： | Dept.ofMath.,HuazhongUniv.ofScienceandTechnology,Wuhan430074,China |
| |
| 基金项目： | National Natural Science Foundation of China(70 0 71 0 1 2 ) |
| |
| 摘 要： | In this paper a generalized defaultable bond pricing formula is derived by assuming that there exists a defaultable forward rate term structure and that firms in the economy interact when default occurs. Generally,The risk-neutral default intensity χ^Q is not equal to the empirical or actual default intensity λ,. This paper proves that multiple default intensities are invari-ant under equivalent martingale transformation,given a well-diversified portfolio corresponding to the defaultable bond. Thus one can directly apply default intensities and fractional losses empirically estimated to the evaluation of defaultable bonds or contingent claims.
|
| 关 键 词： | 多重可违约基金 定价 多样化 规则 |
| 收稿时间： | 5 January 2001 |
Pricing of multiple defaultable bond |
| |
| Jian Zhihong,Li Chulin.Pricing of multiple defaultable bond[J].Applied Mathematics A Journal of Chinese Universities,2002,17(3):335-343. |
| |
| Authors: | Jian Zhihong Li Chulin |
| |
| Institution: | (1) Dept. of Math., Huazhong Univ. of Science and Technology, 430074 Wuhan, China |
| |
| Abstract: | In this paper a generalized defaultable bond pricing formula is derived by assuming that there exists a defaultable forward
rate term structure and that firms in the economy interact when default occurs. Generally, The risk-neutral default intensity
λ
Q
is not equal to the empirical or actual default intensity λ. This paper proves that multiple default intensities are invariant
under equivalent martingale transformation, given a well-diversified portfolio corresponding to the defaultable bond. Thus
one can directly apply default intensities and fractional losses empirically estimated to the evaluation of defaultable bonds
or contingent claims.
Supported by National Natural Science Foundation of China (70071012). |
| |
| Keywords: | multiple defaultable bond term structure diversification |
| 本文献已被 CNKI 维普 万方数据 SpringerLink 等数据库收录！ |
