摘要
本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同。如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免。
This paper tries to conduct a comparative study of some representative models concerning credit default risk contagion, and analyzes the different results of credit option pricing and hedging brought about by the differences in the method of model setup. It is believed that the events like Delon Empire Collapse would have been avoided if default risk contagion had been taken into consideration.
出处
《金融理论与实践》
北大核心
2007年第11期6-10,共5页
Financial Theory and Practice
关键词
信用违约传染建模
相关性
信用违约传染
信用组合
credit default risk contagion model
correlation
credit default risk contagion
credit makeup
