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在简化模型框架内,采用一指数类型的衰减函数来描述发债企业与担保企业间违约强度具有单向依赖性的特点,建立了单向指数衰减违约传染模型,得到了两企业违约时间的联合条件密度函数。进而利用这类单向指数衰减违约传染模型给出了担保债券及债券担保合约的定价公式,并对合约中所隐含的交易对手违约风险进行了分析。
In the simplified model framework, an exponential decay function is used to describe the one-way dependence of default intensity between debt-issuing enterprises and guarantee companies. A one-way exponential decay default contagion model is established, and the combination of two companies’ default time is obtained Conditional density function. Then, using this one-way exponential decay default contagion model, the pricing formula of the guarantee bonds and bond guarantee contracts is given, and the default risk of the counterparty implied in the contract is analyzed.