【作者】 杨丛；

【导师】 耿显民；

【作者基本信息】 南京航空航天大学 ， 概率论与数理统计， 2010， 硕士

【摘要】 随着金融的全球化趋势及金融市场的波动性加剧,各国银行和投资者受到了前所未有的信用风险的挑战。世界银行对全球银行业危机的研究表明,导致银行破产的主要原因就是信用风险。因此信用风险及其衍生品成为了经济社会的一个引人关注的课题,我们有必要对当前国际上流行的信用风险模型和技术方法进行研究。本文在经典信用风险模型的基础上,对于带跳扩散的信用风险模型,当价格和信用价差与违约时间及违约时刻公司的期望折现值有关时,研究该模型的违约概率、盈余分布及零票息债券的价格和信用价差。通过“首次到达时刻”的方法,利用It?’s公式给出违约概率的Laplace变换的积分微分方程。进一步,分析违约时公司的盈余分布,得到其积分微分方程;最后对确定的跳分布,计算违约时刻的数值解。更多还原

【Abstract】 With the financial globalization trend and the intensifying undulation of the financial markets, commercial banks all over the world and investors have all been faced the unprecedented challenge by credit risk. The World Bank studied the crises of the global banking, which showed that the main cause of the bank bankruptcy is credit risk. Therefore, the credit risk and its derivatives have become interest economic social issues. It is necessary for us to consider the model and the method of the credit risk.This paper studies some characterizes of the credit risk model with jump-diffusion. We discuss the default probability and the surplus distribution at default. Applying the first passage time approach, we present the integro-differential equation of the default probability and the surplus distribution at default by the It?’s formula. Finally, an example is given when the distribution of the jump size is known.更多还原