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考虑对手方违约风险首次违约互换合约的定价 被引量：3

Pricing of first-to-default swap contract with considering counterparty default risk
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摘要 研究对手方违约风险的首次违约互换合约的定价问题.通过双曲衰减的违约相关模型来刻画资产池中两个资产之间的相互依赖性结构,利用总的违约时间构建方法,建立了考虑对手方违约风险的首次违约互换合约的数学模型,得到了合约的定价公式,并进行了风险分析. The pricing problem of first-to-default swap contract with counterparty default risk is considered by applying synthesized stochastic analysis theory and reduced method. A hyperbolic attenuation function is introduced to reflect the default correlation between two assets in a asset pool. Based on the total hazard rate construction method, the pricing mathematical models of first-to-default swap contract with considering counterparty default risk is described, moreover, the corresponding pricing formula is given and risk analysis is considered.
作者 林鸿熙 林建伟
机构地区 莆田学院数学系
出处 《系统工程学报》 CSCD 北大核心 2011年第6期785-791,共7页 Journal of Systems Engineering
基金 国家自然科学基金资助项目(11001142) 福建省高校服务海西资助项目(2008HX03) 福建省教育厅科技资助项目(JA08195 JA10231 JK2011051)
关键词 首次违约互换合约 双曲衰减 约化法 对手方违约风险 first-to-defau!t swap contract hyperbolic attenuation reduced method counterparty default risk
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献10

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二级参考文献11

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共引文献17

同被引文献30

  • 1何旭强,周业安.上市公司破产和重整的选择机制、经济效率及法律基础[J].管理世界,2006,22(7):125-131. 被引量：30
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引证文献3

二级引证文献27

系统工程学报
2011年 第6期

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