【作者】 陈晓红； 张琦；

【Author】 CHEN Xiao-hong;ZHANG Qi;School of Business, Central South University;

【机构】 中南大学商学院；

【摘要】 通过引进一个几何类型的衰减函数来表示中小企业集合的违约强度,并研究在不可料违约发生首次跳的假设下,结合结构模型和约化模型,建立中小企业集合债券与无风险债券利差计量模型,并根据Vasicek模型在等价鞅测度下确定的无风险瞬时利率rt所确定的无风险债券定价模型,根据我国债券市场实际情况设定假设条件,进行蒙特卡罗模拟仿真检验,求得中小企业集合债券价格的显式解。更多还原

【Abstract】 This paper presents a model for pricing the collective small-media corporate bonds with unexpected faults. A geometrical attenuation function is introduce to reflect the corrected the unexpected default of intensities. We obtained the logical pricing model of credit spread when an exogenous default process jumps for the first time. Furthermore, we achieved the pricing model of collective small-media corporate bonds as the spot interest rate is assumed to follow Vasicek model. Finally, we test the pricing model with one thousand times Monte Carlo simulations and offer theoretical background and empirical evidence for financial innovation as well.更多还原