【摘要】：信用衍生產(chǎn)品的實(shí)質(zhì)是轉(zhuǎn)移信用風(fēng)險,其中信用違約互換和公司債是兩種常見的信用衍生產(chǎn)品.對信用衍生產(chǎn)品的研究主要是確定出其合理的價格,即定價方面的研究,其定價模型選擇的合理性直接影響到信用衍生產(chǎn)品轉(zhuǎn)移風(fēng)險的有效性.因此,討論信用衍生產(chǎn)品的定價問題具有十分重要的意義. 本文主要以布朗運(yùn)動為基礎(chǔ),討論信用違約互換和公司債的定價問題,具體如下： 首先,簡要介紹了信用衍生產(chǎn)品概況、布朗運(yùn)動、信用違約互換和公司債的國內(nèi)外研究現(xiàn)狀. 其次,在公司負(fù)債隨機(jī)時,基于擴(kuò)散過程討論了信用違約互換的定價問題.假設(shè)參考實(shí)體公司的資產(chǎn)價值和負(fù)債都服從幾何布朗運(yùn)動,利用離散化方法和無套利原理給出了首次違約概率的隱式表達(dá)式和信用違約互換的價格公式. 接著,在跳躍擴(kuò)散市場中,對信用違約互換進(jìn)行定價.違約邊界的假定同第二章,但是假定公司資產(chǎn)價值服從雙指數(shù)跳躍擴(kuò)散過程,利用Gaver-Stehfest算法和無套利原理解出了首次違約概率和信用違約互換的定價公式. 最后,基于Merton的思想和Baglioni and Cherubini(2005)的信號結(jié)構(gòu),討論非對稱信息條件下的公司債定價.建立了擴(kuò)散模型和對數(shù)正態(tài)跳躍擴(kuò)散模型,并采用概率方法和無套利原理給出了公司權(quán)益、公司負(fù)債和信用價差的表達(dá)式.
[Abstract]:The essence of credit derivatives is the transfer of credit risk, in which credit default swaps and corporate bonds are two common credit derivatives. The research on credit derivatives is mainly to determine its reasonable price, that is, the study of pricing. The rationality of its pricing model directly affects the effectiveness of the transfer risk of credit derivatives. Therefore, it is of great significance to discuss the pricing of credit derivatives. Based on Brownian motion, this paper discusses the pricing of credit default swaps and corporate bonds as follows: first of all, it briefly introduces the general situation of credit derivatives, Brownian movement. The research status of credit default swaps and corporate bonds at home and abroad. Secondly, the pricing problem of credit default swaps is discussed based on diffusion process when corporate liabilities are random. Assuming that the asset value and liability of the reference entity company are subject to geometric Brownian motion, the implicit expression of the first default probability and the price formula of the credit default swap are given by using the discretization method and the arbitrage principle. Then, in the jump diffusion market, credit default swaps are priced. The assumption of default boundary is the same as that in Chapter 2, but assuming that the value of corporate assets obeys the process of double exponential jump diffusion, the pricing formulas of first default probability and credit default swap are understood by using Gaver-Stehfest algorithm and arbitrage free source. Finally, based on the idea of Merton and the signal structure of Baglioni and Cherubini (2005), the pricing of corporate debt under the condition of asymmetric information is discussed. The diffusion model and lognormal jump diffusion model are established, and the expressions of equity, debt and credit spread are given by using probability method and no arbitrage principle.
【學(xué)位授予單位】：魯東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5;O211.6

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