Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information
基于Epstein-Zin偏好构建消费均衡框架，将违约时间建模为首次触及边界，考虑投资者对企业价值的不完全信息，推导零息债券价格满足的随机偏微分方程并数值求解，揭示收益率价差与参数关系。
Abstract We present a consumption‐based equilibrium framework for credit risk pricing based on the Epstein–Zin (EZ) preferences where the default time is modeled as the first hitting time of a default boundary and bond investors have imperfect/partial information about the firm value. The imperfect information is generated by the underlying observed state variables and a noisy observation process of the firm value. In addition, the consumption, the volatility, and the firm value process are modeled to follow affine diffusion processes. Using the EZ equilibrium solution as the pricing kernel, we provide an equivalent pricing measure to compute the prices of financial derivatives as discounted values of the future payoffs given the incomplete information. The price of a zero‐coupon bond is represented in terms of the solutions of a stochastic partial differential equation (SPDE) and a deterministic PDE; the self‐contained proofs are provided for both this representation and the well‐posedness of the involved SPDE. Furthermore, this SPDE is numerically solved, which yields some insights into the relationship between the structure of the yield spreads and the model parameters.