| Recent years, with the global credit risk becoming more and more serious and complicated, the demand of investors to credit risk management is growing faster. The theories in the credit risk area have made many improvements in the past tens of years, but it's in these few years that the development is accelerated. In the first part of my thesis, the three main approaches of credit risk pricing model is presented—"Structural Approach", "Reduced Approach" and "Mixed Approach". Also, their basic logic and the modeling process are explained. Among them, "Structural Approach" depends on the real capital structure of the company, the modeling process of "Reduced Approach" starts from a default process given by outside, "Mixed Approach" is the combination of the other two approaches on the assumption that the information is not perfect. Within the classic "Structural Approach" framework, the author introduce the refinanciable assumption to create a new model called "Refinanciable Model". Its main idea is that the value of the bond is indirectly determined by the behavior of the share holders whose aim is value maximization. What's more, the model creatively makes use of some path depended options to give complete expressions of the value of the bond and share. Last but not the least, by setting a normal American market environment, a comparison between "Refinanciable Model" and classic "Structural Model" is made. And the author find out that the " Refinanciable Model" can produce typical humped curves of credit spread which is approved in real market. Furthermore, compared with the classic "Structural Model", the "Refinanciable Model" can catch the real credit spread more precisely. The third part is the introduction of the credit derivatives in the daily market. The theme of the last part is to show the frameworks and computation methods of the credit risk management utilities. The additional discussion of their advantages and disadvantages is also provided. |
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