1) defaultable zero-coupon bond
可违约零息债券
1.
This paper investigates the optimal investment portfolio with stock,defaultable zero-coupon bond,treasury bond and money market account when the investor faces default risk.
研究了投资者面对违约风险时,在由可违约零息债券、股票、国债及货币市场账户组成的投资组合之间进行最优投资的问题。
2) defaultable bond
可违约债券
1.
A pricing model of defaultable bond considering the liquidity risk is proposed according to the empirical literature concerning the credit spread puzzle.
根据实证文献对信用价差之谜的解答,构建了考虑流动性风险影响的可违约债券定价模型,分离了信用价差中所包含的违约风险与流动性风险,并在此基础上得到了流动性风险调整的信用违约互换定价。
2.
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.
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。
3.
Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery,we constructed the term structure model of credit risk and got the closed-from solution of price of defaultable bonds.
在违约强度为随机过程、违约强度与利率相关、以及无风险债券市值回收的条件下,构造了可违约债券的期限结构模型,给出了可违约债券的价格表达式,并讨论了信用风险衍生产品的定价问题。
4) defaultable risky bond
可违约风险债券
6) zero coupon bond
零息债券
1.
Equilibrium pricing for zero coupon bond when the representative's utility shows linear risk tolerance under the linear jump diffusion processes
线性风险容忍度效用下线性跳跃扩散过程的零息债券均衡定价
补充资料：零息票债券；零券息债券
零息票债券；零券息债券一种以低于票面价值的价格发行的债务工具。债券不支付任何票息；它在到期日是以面值赎回的。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条