本文關(guān)鍵詞：HJM模型在信用風(fēng)險(xiǎn)中的應(yīng)用　出處：《中國(guó)科學(xué)技術(shù)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： HJM模型 信用評(píng)級(jí) 可違約債券 可違約期限結(jié)構(gòu) 風(fēng)險(xiǎn)中性定價(jià)

【摘要】：2008年金融危機(jī)以來(lái),風(fēng)險(xiǎn)管理已越來(lái)越受到監(jiān)管機(jī)構(gòu)和各類金融機(jī)構(gòu)的重視,信用風(fēng)險(xiǎn)便是其中的一個(gè)重要的話題,關(guān)于信用風(fēng)險(xiǎn)的研究由來(lái)已久,歷史上有各種各樣的模型對(duì)其進(jìn)行了分析。本文主要是對(duì)HJM模型在信用風(fēng)險(xiǎn)中的應(yīng)用作了深入研究,文章首先介紹了一些信用風(fēng)險(xiǎn)相關(guān)的基本知識(shí)和一些相關(guān)的金融數(shù)學(xué)基礎(chǔ);之后引入HJM模型中關(guān)于遠(yuǎn)期利率模型的基本假設(shè),在按照國(guó)債價(jià)值部分回收的機(jī)制下,從兩種信用評(píng)級(jí)的可違約債券入手,通過(guò)用HJM模型系數(shù)作為輸入給出了可違約債券的價(jià)格公式,并且建立它和對(duì)應(yīng)的風(fēng)險(xiǎn)中性定價(jià)公式之間的關(guān)系;第二大部分將信用評(píng)級(jí)擴(kuò)大至K≥3的情形,給出了類似的定價(jià)公式。此外還討論了其他回收機(jī)制下的價(jià)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(hào)：1406802