法国电力公司™信贷措施和公司债券定价

中文字数:2029,中文页数:4 英文字数:1231页数:4

最近， kmv的表现，一个简单的分析关系的企业债券定价预计默认频率作为衡量违约概率，和模拟债券投资策略的基础上的差异，实际与理论价格。虽然这工作是由所有标准的初步努力，基于有限的数据和利用幼稚方法论，结果有足够的令人鼓舞的，值得进一步调查。那个调查结果将在这里做出报告。
问题的分析，在第一部分的研究是在何种程度上反映了法国电力公司是在该市场的定价的债券。理论上，公司债券的价格（加上应计利息）应一律平等，到现在的价值，其现金流量贴现利率是总结的无风险折扣率，再加上预期损失率和风险溢价。该无风险利率可估计从定价的美国国库证券的方式，任期结构模型。那个预期损失用等于法国电力公司乘以损失给予默认。风险溢价应成正比，每个债券的系统性风险，这反过来将取决于法国电力公司。这意味着一个妥善的方案计算调整的蔓延（美洲组织）的债券应该是一个功能法国电力公司。此功能也将反映其他方面的债券市场，如事实上是有一个蔓延之间的AAA质量的公司债券和国库券超过价值归因于违约风险。

Recently, KMV has performed a simple analysis of the relationship of corporate bond pricingto.Expected Default Frequency as a measure of default probability, and a simulation of bond investment strategies based on the differences between actual and theoretical prices. While this work is by all criteria a preliminary effort, based on limited data and utilizing naïve methodology, the results are sufficiently encouraging to warrant further investigation. The findings are reported here.
The issue analyzed in the first part of the study is the extent to which the EDF is reflected in the market's pricing of bonds. Theoretically, a corporate bond price (plus accrued interest) should be equal to the present value of its cash flows discounted at rates that are the sum of the risk less discount rates plus the expected loss rate and a risk

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