具有触发事件的简化形式强度模型
On Reduced Form Intensity-based Model with Trigger Events
摘要：
企业违约可能由一些重大市场消息或事件引发，例如金融危机或主要银行或金融机构倒闭。为了建立一个更符合实际的信用风险分析模型，我们引入了一种新的简化形式的基于强度的模型，该模型可以同时考虑可观察的“触发”事件和经济环境对企业违约的影响。该模型的核心思想是增加一个Cox过程的触发事件。本文考虑了单违约和多违约的情况。在前一种情况下，得到了缺省时间分布的简单表达式。应用所提出的模型来定价可违约债券和多名称信用违约互换（CDS）。
英文摘要：
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a new type of reduced-form intensity-based model that can incorporate the impacts of both observable "trigger" events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigger events. Both single-default and multiple-default cases are considered in this paper. In the former case, a simple expression for the distribution of the default time is obtained. Applications of the proposed model to price defaultable bonds and multi-name Credit Default Swaps (CDSs) are provided.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
