债券定价与CVA

I. Gikhman
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引用次数: 0

摘要

市场法规要求披露市场工具交易所产生的风险的性质和程度。固定收益定价模型有几个明显的缺陷。本文将公司债券价格解释为一个随机变量。在这种情况下,现货价格并不能完全反映价格的特征。价格应由现货价格及其市场风险值确定。这种解释类似于概率论中的随机变量,其中随机变量的估计完全由其累积分布函数定义。买方市场风险是现货价格高于市场情景所暗示的价格的可能性的价值。首先,我们量化了公司债券的信用风险,然后考虑对债券价格进行市场定价调整。当公司债券的发行人是债券买方的交易对手时,交易对手的信用风险是重合的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Bond Pricing and CVA
Regulations of the market require disclosure of information about the nature and extent of risks arising from the trades of the market instruments. There are several significant drawbacks in fixed income pricing modeling. In this paper we interpret a corporate bond price as a random variable. In this case the spot price does not a complete characteristic of the price. The price should be specified by the spot price as well as its value of market risk. This interpretation is similar to a random variable in Probability Theory where an estimate of the random variable completely defined by its cumulative distribution function. The buyer market risk is the value of the chance that the spot price is higher than it is implied by the market scenarios. First we quantify credit risk of the corporate bonds and then consider marked-to-market pricing adjustment to bond price. In the case when issuer of the corporate bond is the counterparty of the bond buyer counterparty and credit risks are coincide.
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