摘要
主要讨论单因子模型的篮子型信用违约互换定价.目的是寻找一个快捷的方法来处理违约相关问题.采用了正态逆高斯分布对违约时间进行建模,得到了违约时间分布和篮子违约互换定价公式的半分析表达式,进一步地讨论了常数因子荷载扩展到随机因子荷载的情形.最后用数值模拟方法对比了正态分布和正态逆高斯分布两种模型下首次违约互换的价格.
The pricing of basket default swaps with single factor model was discussed in this paper. The aim is to find a more convenient way to solve the problem of dependent defaults.In the paper we use Normal Gaussian Model distribution to build model for default times, by doing that the semi-analytic expressions of distribution of default times and pricing formulae for basket default swaps are obtained.The situation that random factor loading instead of constant factor loading is being analyzed in this paper, we also compare the first to default swaps＇ prices under Gaussian Model and Normal Gaussian Model with numerical examples.
出处
《数学的实践与认识》
CSCD
北大核心
2013年第19期1-9,共9页
Mathematics in Practice and Theory
基金
新疆维吾尔自治区高校科研计划重点项目(XJEDU2008I09)
关键词
篮子违约互换
正态逆高斯分布
因子模型
basket default swaps
normal inverse gaussian distribution
factor model
