具有信用等级迁移风险的零息债券定价

Valuation of Zero Coupon Bonds with Credit Rating Migration Risk

摘要:

建立具有信用等级迁移和违约风险的零息票债券的定价模型.在约化方法下, 模型转换为偏微分方程组终值问题.在进一步假设参数为常数下,得出每个等级债券价格的解析解和大小关系.作图展示了其数值解,并分析了参数对债券价格的影响.

Abstract:

A model was established to price of a zero coupon bond whose issuer has credit rating migration risk. A problem of partial differential equations with terminal conditions was obtained by using the reduced form approach. The explicit solution of the bond price in each credit rating and their relations were obtained under some further constant parameter assumptions. Numerical results were shown by graphs with analyses of sensitive factors.