利率与违约率相关情形下的信用违约互换定价

发布时间：2018-05-28 04:24

本文选题：信用风险 + Cox过程　；参考：《中国科学技术大学》2014年硕士论文

【摘要】：信用违约互换是信用衍生产品市场上是最核心的金融产品,给金融机构管理信用风险提供了非常有效的工具。信用违约互换产品是用来转移或对冲信用风险的金融创新工具,但由于投资者的过度滥用,使其在金融危机中成为信用风险快速传染的工具。信用违约互换是金融产品市场上的一把双刃剑,只有合理的运用它,才能使其有效的在信用风险管理领域发挥重要的作用。如何对信用违约互换产品定价是信用衍生品研究领域一个重要的问题,本文是在假设利率过程与违约强度过程相关,且均服从Hull-White模型的情形下,对信用违约互换定价进行研究分析。在约化模型的基础上,本文研究了利率与违约率相关情形下的信用违约互换定价方法。首先,在无套利条件下,给出了买卖双方公平交易需满足的等式,并利用条件期望的性质,化解得到了信用违约互换的定价公式。其次,假设利率过程和违约强度过程相关且均服从Hull-White模型的情形,通过将Hull-White模型转化为HJM模型,并引入了新的概率测度,利用测度变换,化解得到了信用违约互换价格的解析表达式。最后,在给定参数值的条件下,对不同相关系数下的信用违约互换价格分别进行了数值模拟计算。
[Abstract]:Credit default swap (CDS) is the core financial product in credit derivative market, which provides a very effective tool for financial institutions to manage credit risk. Credit default swap (CDS) is a financial innovation tool used to transfer or hedge credit risk, but because of excessive abuse by investors, it becomes a tool of rapid contagion of credit risk in financial crisis. Credit default swap is a double-edged sword in the market of financial products. Only by using it reasonably can it play an important role in the field of credit risk management. How to price the credit default swap products is an important problem in the field of credit derivatives research. This paper assumes that the interest rate process is related to the default intensity process, and is based on the Hull-White model. This paper analyzes the pricing of credit default swaps. Based on the reduction model, this paper studies the pricing method of credit default swaps under the condition of interest rate and default rate. First of all, under the condition of no arbitrage, the equation of fair deal between buyer and seller is given, and the pricing formula of credit default swap is obtained by using the property of conditional expectation. Secondly, assuming that the interest rate process and default intensity process are related to each other from the Hull-White model, the Hull-White model is transformed into the HJM model, and a new probability measure is introduced, and the measure transformation is used. The analytic expression of credit default swap price is obtained. Finally, under the condition of given parameter values, the credit default swap prices under different correlation coefficients are numerically simulated.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.9

【共引文献】