In this paper, a new approach is developed to estimate
the value of defaultable securities under the actual probability
measure. This model gives the price framework by means of the
method of backward stochastic differential equation. Such a method
solves some problems in most of existing literatures with respect
to pricing the credit risk and relaxes certain market limitations.
We provide the price of defaultable securities in discrete time
and in continuous time respectively, which is favorable to
practice to
manage real credit risk for finance institutes.