对手违约存在相关性的可违约债券的定价

The Pricing of Defaultable Securities with Counterparty Risk

通过讨论违约时刻的概率分布给出存在对手风险的可违约债券的定价公式,对于存在多对手的情况,当对手间相互独立时定价公式容易得出,但对手间存在相互依赖关系性的情况比较复杂。为了解决这一问题,引入Copula函数来刻画违约时刻的联合分布,从而给出债券定价公式的显式表达。

The pricing formulas of defaultable securities are obtained by means of analyzing the distribution of defaulting time. For the cases of multi-counterparty risky securities, it is easy to get the pricing formulas if the counterparties are independent. But if the counterparties are dependent, it will be more complex. Copula function is used to describe the joint distribution of the defaulting time. In this paper, the pricing formulas of the defauhable securities are given.