發(fā)布時間：2018-01-10 21:11

  本文關(guān)鍵詞：HJM模型在信用風險中的應(yīng)用　出處：《中國科學技術(shù)大學》2017年碩士論文　論文類型：學位論文

  更多相關(guān)文章： HJM模型 信用評級 可違約債券 可違約期限結(jié)構(gòu) 風險中性定價

【摘要】：2008年金融危機以來,風險管理已越來越受到監(jiān)管機構(gòu)和各類金融機構(gòu)的重視,信用風險便是其中的一個重要的話題,關(guān)于信用風險的研究由來已久,歷史上有各種各樣的模型對其進行了分析。本文主要是對HJM模型在信用風險中的應(yīng)用作了深入研究,文章首先介紹了一些信用風險相關(guān)的基本知識和一些相關(guān)的金融數(shù)學基礎(chǔ);之后引入HJM模型中關(guān)于遠期利率模型的基本假設(shè),在按照國債價值部分回收的機制下,從兩種信用評級的可違約債券入手,通過用HJM模型系數(shù)作為輸入給出了可違約債券的價格公式,并且建立它和對應(yīng)的風險中性定價公式之間的關(guān)系;第二大部分將信用評級擴大至K≥3的情形,給出了類似的定價公式。此外還討論了其他回收機制下的價格。最后給出了 HJM模型在信用衍生品中的一些應(yīng)用。
[Abstract]:Since the financial crisis in 2008, risk management has been paid more and more attention by regulators and all kinds of financial institutions. Credit risk is one of the important topics, and the research on credit risk has a long history. In the history, there are many kinds of models to analyze it. This paper mainly studies the application of HJM model in credit risk. The article first introduces some basic knowledge of credit risk and some related financial mathematical basis; Then we introduce the basic hypothesis of forward interest rate model in HJM model and start with two kinds of credit rating defaultable bonds under the mechanism of partial recovery of national debt value. By using the HJM model coefficient as the input, the price formula of the defaultable bond is given, and the relationship between it and the corresponding risk-neutral pricing formula is established. The second part extends the credit rating to K 鈮，

本文編號：1406802