基于数值方法的信用违约互换定价研究

发布时间：2018-01-20 11:22

本文关键词： 信用违约互换违约密度数值方法　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着世界金融市场的发展以及对信用风险的研究,信用衍生产品应运而生,信用衍生产品的出现改变了金融机构之前在承担信用风险后,只能被动等待期待最好结果的局面,使得金融机构能够像对市场风险那样对信用风险进行交易,主动地管理自己的信用风险。本文主要对信用违约互换的定价模型进行探讨,并采用简约化模型中的Hull-White模型,对Mediacom LLC公司的CDS溢价进行计算。首先通过Mediacom LLC公司的债券价格运用息票剥离法推导出该公司的违约概率密度函数,然后分别使用理论计算和数值方法对CDS进行定价。由本文的计算结果可以看出,采用数值方法的计算结果更接近于市场中Mediacom LLC公司的CDS报价,以此希望本文对于CDS的定价具有一定的借鉴和参考意义。
[Abstract]:With the development of the world financial market and the study of credit risk, credit derivatives emerge as the times require, and the emergence of credit derivatives has changed the financial institutions before taking credit risk. It can only wait passively for the best results, so that financial institutions can deal with credit risk just as they do with market risk. This paper mainly discusses the pricing model of credit default swaps and adopts the Hull-White model in the simplified model. Calculate the CDS premium of Mediacom LLC. First use Mediacom. The bond price of LLC Company is derived from the probability density function of default by the coupon stripping method. Then we use theoretical calculation and numerical method to price CDS, which can be seen from the results of this paper. The numerical results are closer to the CDS quotation of Mediacom LLC Company in the market. It is hoped that this paper can be used for reference and reference to the pricing of CDS.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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