The Compensation Model for Default-risk of Corporate Bonds in China under Kalman Filter
The default compensation of corporate bonds is a significant part of risk management. In this research, algorithm of the Kalman Filter is applied in modeling of jump-risk compensation. Default probability and default intensity are two important variables for the jump-risk compensation. In the modeling process, the parameter method of maximum likelihood estimation is used to obtain the default probability, and the default intensity under real measure is transformed into default intensity under equivalent martingale measure, which could be obtained from the differential equations under the equivalent martingale measure. The compensation model is established by solving the default probability function.
compensation corporate bond default risk default probability Kalman filter
Kaihao Liang Kin Keung Lai
Department of Mathematics Jinan University Guangzhou, China Department of Management Sciences City University of Hong Kong Hong Kong
国际会议
北京
英文
410-413
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）