Pricing Corporate Bonds With Credit Risk At Random Interest Rates

After the outbreak of the financial turmoil in the year of 2008,the financial market of our country finds that the yield of the stable financial securities market is relatively high,while the yield of the financial crisis period decreases,the volatility of the crisis period is higher than that of the stable period.Considering the level of the return on Securities and the volatility of the two factors,the financial crisis has a certain negative impact on the securities market of our country.In order to solve the problems of risk control and profit in various financial crises,corporate bonds,as a financial tool for financing,are attracting more and more attention from financial workers and financial executives.Therefore,how to price corporate bonds with credit risk has become a problem that financial industry must solve in financial risk management.One of the hotspots of concern.Based on the reduction method,this paper regards default as a dynamic s-tochastic intensity process with uncertainty,takes the yield of one-year treasury bonds as the risk-free interest rate,and considers the credit spreads of corporate bonds,and calculates the default probability of corporate bonds by using the cred-it spreads of corporate bonds,and then establishes a credit risk model for pricing corporate bonds based on credit spreads.The pricing of corporate bonds with and without counterparty credit risk is considered,thus providing a more realistic pric-ing method for corporate bonds with credit risk.