【摘要】 在期限结构模型中引入系统性的跳跃风险,假设公司违约事件服从独立同分布的泊松(Poisson)过程,而违约将导致承诺的债务支付减小,研究了公司违约事件相互影响时违约风险的评估问题,给出了可违约债券价格服从的随机过程,证明了给定可违约债券如果存在违约风险分散化的证券投资组合完全复制可违约债券的支付,则多重违约强度在等价鞅(Martingale)测度变换下具有不变性。更多还原

【Abstract】 Systematical jump risk is introduced to the term structure model. Assumptions are made that firm defaults are characterized by Poisson processes and default results in reduced payoff of debts. Default risk evaluation is studied when defaults are interacted. The stochastic process of defaultable bonds is given. It is proved that if there exists default risk diversifiable portfolio that completely replicate the defaultable bonds then the intensity of multiple defaults is unchanged under equivalent martingale transformation.更多还原