摘要
在信用组合中,企业的违约是相互随机依赖的。除了来自宏观经济因素的影响,即因果传染;还有一种影响来自于企业间的直接相互关系,我们称其为信用违约传染。在目前,席卷全球的次贷风暴,就是一个信用风险传染的实例。到目前为止,人们尝试了从不同角度为违约传染建模,特别是从简约模型角度出发。本文从结构模型角度出发,为信用违约传染建模。并在此模型基础上,分析其对信用衍生品定价的影响。
The default event is randomly dependent in the credit portfolio. The main influence comes from the common factors. But the direct relationship between the firms, called credit contagion, is not built in the classical models. In this paper, the author tries to describe the contagion effects in the structural approach and investigate the pricing effects of the model to basket credit derivatives.
出处
《金融研究》
CSSCI
北大核心
2008年第10期162-173,共12页
Journal of Financial Research