Pricing Research Of Corporate Bonds And Credit Derivatives Under The Structual Model

Credit risk is a very important subject in the field of finance study. The key of management of credit risk is corporate bonds pricing. Credit derivatives, whose most significant feature is hedging credit risk, are new derivatives in 1990's.In this paper, three models on pricing credit risk are introduced first: structual model, reduced-form model and the credit class transition model. All the paper is based on the structual model. First, under different hypothesises, we link with the exotics options and pricing the zero coupon coporate bonds on the basis of Merton's model; as to coupon bonds, we build the pricing models for discrete and continuous coupons provided with constant interest rate and stochastic interest rate. As to phenomenon of unexpected jumps of corporate's value, we build the model of coupon bonds by the jump-diffusion stochastic process. Then, we discuss the problem of pricing perpetual bonds for stochastic rate and analyse how bankruptcy cost and tax shelve impact the company's value; at last, we build the models of two typical kinds of credit derivatives: exchange options and credit default swap. We price exchange options under the constant interest rate and stochastic interest rate. To credit default swap, we get the answers of discrete and continuous cash flow, and we pricing a basket credit default swap provided with distrete cash flow.