一种状态可转换约化模型下含对手风险的CDS的定价

发布时间：2018-02-23 19:50

本文关键词： 信用违约互换对手风险状态转换约化模型　出处：《苏州大学》2013年硕士论文　论文类型：学位论文

【摘要】：含对手信用风险的CDS的定价问题中,最关键的是如何刻画对手方和参考实体之间的违约相关性.约化模型被广泛的应用在信用衍生产品的定价中,主要用来刻画违约以及相关违约强度.在本文中用一种状态可转换的约化模型来建立违约的相关结构,违约是由一些冲击事件导致的,这些事件的来到过程是cox过程,违约时间定义为cox过程的首次跳时刻,而这些cox过程的强度依赖于随机经济状态.不同经济状态之间的转换用一个连续时间的马尔科夫链来表示.本文所引入的状态可转换的约化信用风险模型可较好的刻画含对手信用风险的CDS中对手方和参考实体之间的违约相关性,我们可以得到联合生存概率的闭形式表达式,在此基础上对含对手信用风险的CDS进行定价,推导出含对手风险CDS的保费计算公式.
[Abstract]:In the pricing of CDS with counterparty credit risk, the key is how to depict the default correlation between counterparty and reference entity. Reduction model is widely used in the pricing of credit derivatives. In this paper, a state convertible reduction model is used to establish the relevant structure of default. The default is caused by some shock events, and the process of these events is cox process. The default time is defined as the first jump time of the cox process, The intensity of these cox processes depends on the stochastic economic state. The transformation between different economic states is represented by a Markov chain of continuous time. The reduced credit risk model with state convertible introduced in this paper is better. To depict the default correlation between counterparty and reference entity in CDS with credit risk of counterparty, We can obtain the closed form expression of the joint survival probability. On this basis we can price the CDS with counterparty credit risk and deduce the formula for calculating the premium of CDS with counterparty risk.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.4;O211.62

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