信用风险传染综述

A Summary of Financial Risk Infection

次贷危机可以说是近期最热门的话题之一。次贷导致的信用危机通过传染影响了整个金融机构。在这篇文章中,我们深入的研究了信用风险传染的主要模型,由于建模方式的不同,影响了对信用衍生产品价格的确定。能够正确的理解这些模型的基本思想,多我们理解次贷传染的整个过程有着重要的意义。文章从简约模型和结构模型的框架下,深入探讨了现有的传染模型。通过这篇文献的深入研究,能为我们在这个基础上研究信用违约传染问题奠定了基础。

Subprime debt is one of the main hot topics in the current time. The credit crises in form of contagion extend the whole financial institutions. In this paper, we try to give a intensiv overview the exisiting credit contagion modelling, which influence the pricing of derivatives, especially CDO prices. The framework consists of reduced form modelling and structural modelling over the present time. With this literatur overview, we will grasp the main idea behind contagion modelling.