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基于信用等级迁移的信用违约互换定价 被引量：3

Pricing of Credit Default Swap Based on Credit Rating
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摘要 研究了参考债券具有信用等级结构的信用违约互换(CDS)的定价.考虑债券处于不同的等级,且债券的违约强度和回收率随着债券在等级间的迁移不断变化;基于转移矩阵和回收率向量,构建了常微分方程组(ODE)方程来求解信用违约互换的或有赔付和保费支付的价值,并给出了其解析解,从而确定了CDS保费费率和CDS的价值.最后通过数值分析验证理论结果. This paper presents a study of the pricing of credit default swap（CDS）of the reference bond with credit ranks. Based on the fact that the default probability and recovery rate are always changing, two ordinary differential equation（ODE） systems corresponding to coupon leg and default leg are obtained by transition matrix and recovery vector. Furthermore,both explicit solution of ODE system are given to determine the premium of CDS. Finally numerical analysis verifies the effectiveness of the proposed model.
作者 王乐乐 边保军 李琳
机构地区 同济大学数学系 同济大学经济与管理学院
出处 《同济大学学报（自然科学版）》 EI CAS CSCD 北大核心 2010年第4期613-618,共6页 Journal of Tongji University:Natural Science
基金 国家自然科学基金资助项目(10671144) 国家"九七三"重点基础研究发展计划资助项目(2007CB814903)
关键词 信用违约互换 转移矩阵 回收率向量 常微分方程组 credit default swap transition matrix recovery vector ordinary differential equation（ODE） system
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献14

  • 1Duffie Darrel.Credit swap valuation[J].Financial Analysis Journal,1999,1(2):73.
  • 2Hull J,White A.Valuing credit default swaps Ⅰ:no counterparty default risk[J].Journal of Derivatives,2000,8(1):29.
  • 3Hull J,White A.Valuing credit default swaps Ⅱ:modeling default correlations[J].Journal of Derivatives,2001,8(3):12.
  • 4Jarrow R,Yildirim Y.A simple model for valuing default swaps when both market and credit risk are correlated[J].Journal of Fixed Income,2002,11(4):7.
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  • 9Zhou Richard.Bond implied CDS spread and CDS-bond basis[EB/OL].[2008-12-20].http:∥ssrn.com/abstract=1265548.
  • 10Lando David.On cox process and credit risky securities[J].Review of Derivative Research,1998(2):99.

二级参考文献27

  • 1Duffie Darrel. Credit swap valuation[J]. Financial Analyst Journal, 1999(January-February):73-87.
  • 2Duffie Darrel, Kennech J Singleton. An econometric model of the term structure of Interest-Rate swap yiclds[J]. Journal of Finance,1997,(52):1287-1321.
  • 3Duffie Darrel, Kennech J Singleton. Modeling term structure of defaultable bonds[J]. Review of Financial Studies, 1999, (12): 687-720.
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  • 5Longstaff Francis A. Sanjay Mihal and Eric Neis. Corporate Yield Spreads.. Default Risk or l.iquidity? New Evidence from the Credit-Default Swap Market [J]. Journal of Finance, 2005, forthcoming.
  • 6Bakshi Gurdip, Dilip Madan, Frank Zhang. Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates[R]. Working Paper, University of Maryland,2001.
  • 7Chen Ren-Raw, Ben J Sopranzetti. The valuation of derivative of Default-Triggered credit derivatives[J]. Journal of Financial and Quantitantive Analysis, 2003, (38) : 359-382.
  • 8Hull John Options. Futures and other Derivatives[M]. Prentice Hall, 2003, Fifth Edition.
  • 9Lando David. On cox process and credit risky securities[J]. Review of Derivatives Research, 1998. (2): 99-120.
  • 10Hull John, Alan White. Valuing credit default swaps Ⅰ: No counterparty default risk[J]. Journal of Derivativ, 2000, 8(Fall): 29-40.

同被引文献42

  • 1张海云,左思斌,王博.信用风险缓释工具:产品改造与缓释失效[J].科学决策,2014(5):47-57. 被引量：4
  • 2白云芬,胡新华,叶中行.交易对手违约风险的信用违约互换定价[J].统计与决策,2007,23(18):8-10. 被引量：6
  • 3魏嵬.含有对手信用风险的衍生品定价[D].上海:同济大学数学系,2012.
  • 4姜礼尚. 期权定价的数学模型和方法[M]. 2版. 北京: 高等教育出版社, 2004: 83-86.
  • 5Francis A. Longstaff,Sanjay Mithal,Eric Neis. Corporate Yield Spreads: Default Risk or Liquidity New Evidence from the Credit-Default Swap Market[J].Journal of Finance,2004.2213-2253.
  • 6Nishul Saperia,Jean Gross. Credit Event Auction Primer[EB/OL].http://www.markit.com/cds/,2010.
  • 7Christian Weistroffer. CDS Heading towards a more stable system[J].Deutsche Bank Research,2009.
  • 8Mikhail Chernov Alexander S. Gorbenko Igor Makarov[J].CDS Auctions,2011.
  • 9Viral Acharya,Timothy Johnson. Insider Trading in Credit Derivatives[J].Journal of Financial Economics,2005,(01):110-141.
  • 10Jarrow R A, Lando D, Turnbull S M. A Markov model for the term structure of credit risk spreads[J]. Review of Financial Studies, 1997, 10(2): 481.

引证文献3

二级引证文献8

同济大学学报（自然科学版）
2010年 第4期

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