A general formula for valuing defaultable securities

• 成果类型: Article
• 署名作者: Collin-Dufresne, P; Goldstein, R; Hugonnier, J
• 署名单位: University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; University of Lausanne
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2004.00538.x
• 发表日期: 2004
• 页码: 1377-1407
• 关键词: TERM STRUCTURES; martingales; RISK

摘要

Previous research has shown that under a suitable no-jump condition, the price of a defaultable security is equal to its risk-neutral expected discounted cash flows if a modified discount rate is introduced to account for the possibility of default. Below, we generalize this result by demonstrating that one can always value defaultable claims using expected risk-adjusted discounting provided that the expectation is taken under a slightly modified probability measure. This new probability measure puts zero probability on paths where default occurs prior to the maturity, and is thus only absolutely continuous with respect to the risk-neutral probability measure. After establishing the general result and discussing its relation with the existing literature, we investigate several examples for which the no-jump condition fails. Each example illustrates the power of our general formula by providing simple analytic solutions for the prices of defaultable securities.