摘要
在Du ffie-S ing leton定价模型的基础上,构造了流动性风险影响下的可违约债券定价模型,其中流动性因素的风险中性过程具备均值回复和条件异方差特征。在该模型的基础上,进一步建立了连续复利下可违约债券信用利差的期限结构模型,并通过改变流动性风险中性过程的控制参数,探讨了流动性风险对可违约债券利差期限结构的影响。结果显示,债券利差的期限结构对流动性风险非常敏感,且同样利差结构的债券可能拥有完全不同的风险结构。对这些风险构成不加甄别,将直接影响使用基于强度过程的简约化模型对信用衍生品定价的准确性。
Within the Duffie-Singleton＇s framework, this paper develops a model for pricing defaultable bonds whose value also depends on liquidity risk, besides default risk. The proposed risk-neutral dynamics of liquidity risk captures the mean-reversion and conditional heteroskedasticity features of the uncertainty. Based on this model, we further present a model for the term structure of credit spreads on a continuously compounded yield basis. Through varying some key parameters governing liquidity process, we get some meaningful insights into the impact of liquidity risk on the term structure of credit spreads. The analysis shows the term structure of credit spreads is very sensitive to the liquidity risk. Moreover, bonds with same credit spreads may have very different risk structures. Discriminating different risks is necessary to the pricing of credit derivatives under reduce-form models.
出处
《系统工程理论方法应用》
北大核心
2006年第3期251-255,共5页
Systems Engineering Theory·Methodology·Applications
