同济大学学报（自然科学版）2012，Vol.40Issue(2)：310-314,5.DOI:10.3969/j.issn.0253-374x.2012.02.026
有偿债基金机制的公司债定价模型
Pricing Model for a Bond Issued by Company with Sinking Fund Mechanism
摘要
Abstract
A corporate bond with sinking fund is a bond whose issuer should put some future profit into a sinking fund to guarantee the payment of corporate bond' s principal and interest. This bond has the nature of advanced redemption. Because that will result in the jump of its assets, this paper derives the no-default probability before the extraction of the sinking fund and the conditional distribution of issuer's assets after then, and in the frameworks of the first passage time model, bond pricing formulas are obtained. Then the financial meanings are analyzed by numerical results.关键词
偿债基金/违约概率/公司资产条件分布/首次通过模型Key words
sinking fund/ default probability/ conditional distribution of company's assets/ first passage time model分类
管理科学引用本文复制引用
任学敏,光华..有偿债基金机制的公司债定价模型[J].同济大学学报（自然科学版）,2012,40(2):310-314,5.基金项目
国家"九七三"重点基础研究发展计划项目(2007CB814903) （2007CB814903）
国家自然科学基金(10671103) （10671103）
