摘要
假设企业资产价值的波动以真实概率服从分数布朗运动,在此基础上推算出时度量信用风险的:公司的违约概率公式,风险债券的价格公式,股票的价格公式以及风险溢价公式等,并且得到在这样的假设条件下画出的信用风险溢价随着资产价值波动项变化而呈现的不同走势接近实证结论.
In this paper,the authors make assumptions about the distribution of assets at debt maturity under the physical probability.The standard model for the evolution of asset prices over time is fractional Brownian motion.On this basis the authors calculate out the formula of the probability of default,the formula of the credit-risky bonds,the formula of the value of the equity and the formula of the credit spread at time.Also,it is obtained that the structure of credit spreads for varying asset volatilities in the classical approach will approch the factional conclusion nearly.
出处
《甘肃联合大学学报（自然科学版）》
2007年第5期23-26,共4页
Journal of Gansu Lianhe University :Natural Sciences
基金
陕西省教育厅自然科学专项基金项目(05JK207)
关键词
分数布朗运动
标准正态分布
标准正态分布函数
违约概率
风险债券
风险溢价
Fractional Brownian Motion
standard normal distribution
standard normal distribution function
probability of default
credit-risky bonds
credit spread
