考虑相关性的第三方担保价值评估

Evaluation of firm bond with correlated third party guarantee

摘要:

在结构化模型的框架下，考虑到担保公司与被担保公司之间存在相关性时，因预付担保债务而导致资不抵债而违约的情况。导出有相关性的第三方担保的公司债券价格所满足的偏微分方程终边值问题。利用数值计算分析了公司资产值、资产相关性、资产波动率、公司回收率和债券发行量等因素对于债券价格的影响。

Abstract:

This paper presents the pricing model for firm bond with the correlated third party guarantee in structural approach and takes into account the case that the guarantor may default because of the immediate future payment due to the default of secured party. Our model is a terminal boundary-value problem of PDE. And we numerically provide a discussion on the impact on the bond price by the parameters, such as firm asset, asset correlation, asset volatility, etc.