| Summary: | 碩士 === 國立中山大學 === 應用數學系研究所 === 93 === Credit risk of derivative securities includes the risk of
underlying company and the risk of seller''s nonfulfilment of contracts. Take bonds for example, we regard Treasury bills as default-free bonds, and corporate bonds as risky bonds. When the liability of property of derivative securities underlying company is less than 1, we regard the company is of bankruptcy. And then the seller of derivative securities will break the contract.
The essay extends two period risky bonds pricing valuation of Jarrow and Turnbull(1995) to multiperiod situation, and derive arbitrage-free condition. Furthermore, we derive formulae of risky bonds prices by assuming the logarithm of the odds ratio of an underlying company''s bankruptcy probability satisfies an AR(1) or MA(1) processes. Empirical data of Rebar, Chinarebar, Ceon are studied, time series models are established for logarithm of odds
ratios. In most cases, we find that the log odds ratios can be well fitted by AR(1) models.
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