摘要
在违约条件下,证券的持有者将得到无违约风险证券价值的一定比例的补偿,就对方所发行的同等级要求权的衍生证券和债券而言,预期无违约价值的比例是相同的.文章据此来推算违约风险对期权的影响.
The holder of an option is assumed to recover a proport ion of its no_de fault value in the event of a default by the counter party. To the bonds issued by the counter party and derivatives which ranks equally with the bonds, the rec overy proportion of the expected no_default value is same. The paper shows how d ata on bonds issued by the counter party be applied to calculate the impact of d efault risk on options.
出处
《系统工程学报》
CSCD
2003年第1期25-30,共6页
Journal of Systems Engineering
基金
国家自然科学基金资助项目(70172018).
