Study on the Credit Transfer Risk and correlation risk of Single Bond

摘要：

In this paper the pricing credit spread and the credit transfer risk of risk bond were studied. The result shows that the pricing formula based on credit spread can reflect the practical spread curve much better. Furthermore, based on both of the transfer risk and correlation risk, the credit spread was adjusted.

关键词： credit risk transfer risk correlation risk credit spread

作者: Shengwu ZHOU Weijing LIU Weiwei HUA Guangping SHI Qing XU

作者单位: College of Science,China University of Mining and Technology,Xuzhou,221116,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 170-174

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）