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The Interest Rate Algebra

机译：利率代数

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摘要

This article considers the structure of interest rate, applied for discounting of risky cash flows. The purpose of the article is a presentation of ways of reflecting inflation and risks in the calculation of risk discount rate. In introduction on base of well-known dependences is shown that risk premium depends on inflation rate and (for multiplicative-type models) risk free rate. In the first part of the article three Interest rate algebras are presented. They describe the attitude between nominal discount rate, risk free rate, inflation rate and risk-premium. This algebras can presents in additive-type or multiplicative-type versions and have given risk premium value without detailed description the structure of risk premium. The second part of the paper has more detailed attitude between risk premium, risk free rate and mathematical expectation of losses because of bankruptcy/default. It is shown that the obtained dependences are slightly different and depends on the initial preconditions calculation: the principle of arbitration or the principle of certainly equivalent.
机译：本文考虑了利率结构，适用于折现风险现金流量。本文的目的是介绍在计算风险贴现率时反映通货膨胀和风险的方法。引言基于众所周知的依赖关系表明，风险溢价取决于通货膨胀率和（对于乘法型模型而言）无风险率。在本文的第一部分，介绍了三个利率代数。他们描述了名义贴现率，无风险利率，通货膨胀率和风险溢价之间的态度。该代数可以加法型或乘法型形式出现，并给出了风险溢价值，而没有详细描述风险溢价的结构。本文的第二部分在因破产/违约而导致的风险溢价，无风险利率和数学上的损失期望之间有更详细的态度。结果表明，所获得的依存关系略有不同，并且取决于初始前提条件的计算：仲裁原理或肯定等同的原理。

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