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可违约零息债券同时面临着违约风险和市场风险(利率风险),本文在信用风险强度定价模型的框架下,假设状态过程的两个分量在实际世界为相互独立的CIR过程,而无风险瞬时利率和违约强度与状态向量成仿射关系,允许利率和违约强度相关,建立了可违约零息债券的双因素强度定价模型。模型的仿射假设不仅很好体现了市场变量的特性,还解析的表示出了可违约零息债券的价格和模型参数估计的似然函数,最后选用国内短期融资券的价格和一周Shibor利率对模型作出参数估计。
Under the framework of credit risk intensity pricing model, this paper assumes that the two components of the state process are mutually independent CIR processes in the real world, while the risk-free instantaneous The relationship between interest rate and default intensity and the state vector is affine, allowing the interest rate to be correlated with the intensity of default, and a two-factor strength pricing model of CDS with default is established. The affine assumptions of the model not only reflect the characteristics of the market variables but also show the likelihood function of the price of defaulted zero-coupon bonds and the estimation of the model parameters. Finally, the price of domestic short-term financing bonds and the weekly Shibor interest rate pair Model to make parameter estimation.