基于考克斯过程的信用违约互换定价

The voluation of the credit default swap based on Cox process

用考克斯过程来描述违约过程,在假设市场风险和信用风险线性相关的前提下,研究了信用违约互换价差的估值问题.

Applying Cox process to describe the process of noncompliance , the valuation issue of credit default swap is studied under the hypothesis that the market risk is correlated with credit linearly.