用约化方法对有第三方担保的企业债券定价

Pricing of Firm Bond with Third Party Surety by Reduced Form Approach

摘要:

在约化模型的框架下,考虑到担保方可能违约的情况，用偏微分方程的方法得到了有第三方担保的企业债券的定价公式和担保的价值，并讨论了担保方违约可能性的大小等因素对债券定价和担保的价值的影响.

关键词:企业债券; 第三方担保; 信用风险; 约化方法

Abstract:

Th paper presents the pricing formula of firm bond with third party surety and the value of the third party surety by partial differential equation approach,and then a discussion on the impact on the bond price and the value of the third party surety of several factors such as the default probability of the third party.

Key words:firm bond; third party surety; credit risk; reduced form approach