论文标题
重新审视Jarrow＆Turnbull设置
The Jarrow & Turnbull setting revisited
论文作者
论文摘要
我们考虑一个具有零息债券的金融市场，该债券暴露于信贷和流动性风险。我们重新审视着著名的Jarrow＆Turnbull设置，以说明这两种错综复杂的风险类型。我们利用将可默认的零息债券解释为不可违反的外国对应物的转换的外汇类比。相关的汇率仅在市场过滤中可以部分观察到，这使我们自然地应用了柏拉图金融市场的概念。我们提供了由二维仿射跳跃扩散驱动的可访问术语结构模型的示例。此外，我们为可销售产品（例如信用违约掉期）提供了明确的估值公式。
We consider a financial market with zero-coupon bonds that are exposed to credit and liquidity risk. We revisit the famous Jarrow & Turnbull setting in order to account for these two intricately intertwined risk types. We utilise the foreign exchange analogy that interprets defaultable zero-coupon bonds as a conversion of non-defaultable foreign counterparts. The relevant exchange rate is only partially observable in the market filtration, which leads us naturally to an application of the concept of platonic financial markets. We provide an example of tractable term structure models that are driven by a two-dimensional affine jump diffusion. Furthermore, we derive explicit valuation formulae for marketable products, e.g., for credit default swaps.
