Defaultable Bond Pricing With Time-lag Credit Risk

Credit risk has always been one of the most important risks faced by financial institutions. Whether the operations of financial institutions will be successful or not will mainly depend on whether they have appropriate measurement and management of credit risk or not.Therefore,under present volatile financial environment,it well be a great challenge for financial institutions to consider and study how to perfect and improve their credit risk measurement and management techniques.In this paper,the writer introduced the credit risk explicitly.The paper consists of five chapters.In Chapter I,the writer mainly introduced the importance and progress of credit risk.In Chapter II,the writer presented the normal credit derivatives and the introduced the effect and risk of credit derivatives.In Chapter III ,the writer recommended the math foundation to study credit risk.In Chapter IV,the writer introduced the normal approach to measure credit risk,they are structure-approach and reduced-form-approach.In Chapter V,the writer put a model forward concretely for bond pricing under time-lag credit risk.