2) Default
[英][dɪ'fɔ:lt] [美][dɪ'fɔlt]
债务违约
1.
Information Content of Expected Costs of Financial Distress in Default Predicting Model;
预期财务困境成本在债务违约预测模型中的信息含量
4) debtor's breaking a contact
债务人违约
5) Default-probability-function of Bond
债券违约率函数
6) 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。
补充资料：债务
债务 Debt
定义：
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