Liquidity Analysis of Financial Derivative Products Based on Structural Model

Abstract:

We know that investors of financial assets face many types of risks. The main ones are credit risk and liquidity risk. We set up models which are the valuation of credit and liquidity losses for measure of risk respectively. we provide the models which are the valuation of credit and liquidity losses respectively. And we also offer the pricing models of default financial securities with liquidity risk. In terms of liquidity of financial assets, influencing factors of liquidity include markets and its own characteristics. The study adopts the actual data of the financial markets and the loss of the model to an empirical analysis of the liquidity of the bond market.

Key words:structural model; liquidity risk; credit risk; spread