Default Bond Pricing And Government Recessive Guarantee Research Based On Dynamic Default Boundaries

In recent years,the Chinese bond market has developed rapidly,and the following normalization of bond default has also attracted widespread attention.This article is based on two dynamic default boundaries to establish mathematical models on default bonds,and we obtain pricing formulas under the structured model.Firstly,we use the principle of risk neutrality to embed the loss given default,government recessive guarantee probability and dynamic default boundary related parameter into mathematical models.We use function replacement techniques and partial microscopic equations to obtain the explicit expression of bond pricing.Secondly,we combine the bond observation data of different issues,and compare the pricing errors in different models and default boundaries.We use the least square method to estimate the loss given default,government recessive guarantee probability and dynamic default boundary related parameter.Furthermore,we analyze the parameter characteristics and financial meaning of different bond issuance entities based on actual data.