【摘要】 在违约强度为随机过程、违约强度与利率相关、以及无风险债券市值回收的条件下,构造了可违约债券的期限结构模型,给出了可违约债券的价格表达式,并讨论了信用风险衍生产品的定价问题。本文构造的模型属于强度模型流派。更多还原

【Abstract】 Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery,we constructed the term structure model of credit risk and got the closed-from solution of price of defaultable bonds.Finally,we discussed the pricing problem of credit risk derivatives.The credit risk pricing model constructed in this paper belongs to the intensity model category.更多还原