摘要翻译：
我们提出了一个信贷市场模型，其中债券的随机违约时间被假定为一个或多个独立的“市场因素”的函数。假定市场参与者拥有关于每个市场因素的部分信息，由一组市场因素信息过程的值表示。市场过滤被认为是由各种信息过程和各种债券的违约指标过程共同产生的。折价债券的价值是以市场过滤提供的信息为条件，通过对债券到期时违约指标函数值的折现期望得到的。导出了债券价格过程和相关违约风险率的显式表达式。后者不是作为模型的一部分而先验地给出的，而是推导并显示为信息过程值的函数。因此，基于现有信息的“感知”风险率决定了债券价格，随着感知的变化，价格也随之变化。最后，推导出贴现债券期权的显式表达式，其价值也随市场情绪的变化而波动。
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英文标题：
《Credit Risk, Market Sentiment and Randomly-Timed Default》
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作者：
Dorje C. Brody, Lane P. Hughston, and Andrea Macrina
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of the market factors, represented by the values of a set of market factor information processes. The market filtration is taken to be generated jointly by the various information processes and by the default indicator processes of the various bonds. The value of a discount bond is obtained by taking the discounted expectation of the value of the default indicator function at the maturity of the bond, conditional on the information provided by the market filtration. Explicit expressions are derived for the bond price processes and the associated default hazard rates. The latter are not given a priori as part of the model but rather are deduced and shown to be functions of the values of the information processes. Thus the "perceived" hazard rates, based on the available information, determine bond prices, and as perceptions change so do the prices. In conclusion, explicit expressions are derived for options on discount bonds, the values of which also fluctuate in line with the vicissitudes of market sentiment.
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PDF链接：
https://arxiv.org/pdf/1006.2909