Valuation of the Defaultable Bonds

摘要：

Default occurs when the assets value of a firm reaches a lower threshold or at the first jump time of a Cox process related to the firm. By changing numeraire the dimension of PDE to be solved can be reduced, and closed form solutions are derived for pricing defaultable bonds when spot interest rate evolves as a diffusion of Vasicek model and hazard rate is governed by a CIR-model process. Thus the classical structural and reduced form approaches are integrated here. Given the closed form solutions, credit spreads are analyzed.

关键词： Ddefaultable Bonds Credit Spread Partial Differential Equation

作者: BI Yusheng WANG Xiaoli

作者单位: School of Economics and Management, Tongji University, Shanghai, P.R.China 200092

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-8

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）