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dc.contributor.advisor陈荣奎
dc.contributor.author马磊
dc.date.accessioned2016-02-14T03:35:01Z
dc.date.available2016-02-14T03:35:01Z
dc.date.issued2006-05-28 13:07:42.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/40726
dc.description.abstract当前出现的大多数信用风险方面的研究,已经普遍关注公司债券、贷款等债务工具或者期权、互换等金融衍生产品在面临诸如交易对手等信用风险时的价格评估。但是对于信用风险传染效应给含有交易对手违约风险的金融产品的合理定价所带来的问题,却普遍被忽略。甚至绝大多数这些金融产品的交易者和理论研究者都没有考虑关联公司可能带来的信用传染对于债券、信用违约互换等金融产品的价格造成的影响。而实际上,这种潜在的传染和冲击,在公司债券等金融产品交易中是一个非常值得关注的关键因素。只要公司之间存在违约相关性,那么由这种传染所带来的风险就必须被考虑在金融产品的定价模型之内。深入研究这一问题具有很强的理论意义和现实意义。本文致力...
dc.description.abstractMost of the work on credit risk appearing to date has been concerned with the valuation of debt instruments such as corporate bonds, loans, or derivatives such as options and swaps when the counterparty default risk is involved. The influence of credit risk contagion effects to the pricing of financial products with counterparty default risk, however, has generally been neglected. Even today the g...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=11107&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=11848
dc.subject信用风险传染
dc.subject定价模型
dc.subject违约风险的市场价格
dc.subjectCredit Risk Contagion
dc.subjectPricing Model
dc.subjectMarket Price of Default Risk
dc.title信用风险传染与可违约证券定价
dc.title.alternativeCredit Risk Contagion and Defaultable Securities Pricing
dc.typethesis
dc.date.replied2006-05-28
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院财政金融系_金融学(含保险学)
dc.description.note学号:200342044


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