信用关联结构性存款的定价

Credit Risk Linking Return Deposit Pricing

摘要:

为了分散信用风险,一些银行发行了收益与某一信用实体的信用事件挂钩的存款.对挂钩公司的破产,采用结构化方法中的首次通过模型,即在存款期限内,若信用实体资不抵债,就认为信用事件发生.在随机利率假定下,用偏微分方程的方法,给出信用关联存款的的定价公式,并讨论其金融意义.

Abstract:

To diversify credit risk,the so called deposit linking with credit risk is issued,whose return depends on whether a specified firm default before the maturity of the deposit.The first passage model is employed.A firm is believed to go bankrupcy when its assets are less than its debts.With stochastic interest rate,the closed form pricing formula is obtained with partial deffrential equation approach.Finally,the financial significance is discussed.