跳-扩散过程下具有目标杠杆比率的违约风险模型

本文在研究公司债务违约风险时,假设公司价值的动态变化服从跳-扩散过程;假设公司可以根据公司价值的变化调整其债务水平,因而存在公司的目标杠杆比率,违约边界定义为公司历史价值的对数加权平均;当公司价值下降到违约边界时发生债务违约.数值模拟表明公司债务的信用利差对公司的目标杠杆比率和跳过程的强度具有高度的敏感性.本文的模型解决了在长期和短期信用利差预测时结构化模型和约化模型存在的缺陷.

MODELING DEFAULT RISK IN JUMP-DIFFUSION PROCESS WITH TARGET LEVERAGE RATIO

We develop a structural model of default in jump-diffusion process with target leverage ratio. The model provides a number of interesting new insights about the impact of target leverage ratio and intensity of jump in dynamics of firm value on credit spreads. By defining the default boundary as the weighted average of past logarithm of the firm value, we assume that a firm can continually adjust its debt level in order to adapt to the changes of the firm value and there exists a target leverage ratio in firm' s financial decision making.This assumption makes it possible to reconcile the difference between the reduced-form model and the canonical structural model in the long run. Meanwhile, by introducing jump component into dynamics of firm value, our general model makes prediction that is consistent with the empirical evidence that the credit spread at short maturity is non-zero. The numerical simulation shows that the credit spread are highly sensitive to the target leverage ratio and the intensity of jump and the curve of credit spread term structure is irregular in our general model.