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基于Vasicek模型的一篮子CDS定价公式解的局限性和有效性 被引量：4

The Limitation and Efficiency of Formula Solution for Basket Default Swap Based on Vasicek Model
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摘要 对由Vasicek模型为基础所建立的一篮子信用违约互换定价的封闭解之局限性和有效性进行了探讨,特别研究了Vasicek模型的缺陷对解的影响。首先建立了一个基于Vasicek假设利用Monte Carlo模拟的copula模型,并且在模型的算法中规避了Vasicek模型带来的缺陷。然后利用该模型对一篮子信用违约互换定价的模拟值与封闭解的计算值进行比较分析,验证了封闭解的有效性。说明了封闭形式定价模型对基于投资组合信用衍生产品定价在小规模投资组合产品的计算上有着一定的准确性和高效性。 In this paper, we focus on the research of the limitation and efficiency of formula solution for basket default swap based on Vasicek model,especially on the effect of the limitation of the Vasicek model. First,on the basis of Vasicek assumption, a copula model simulated by Monte Carlo method is established. Then we compare the simulated price with the calculated price, verifying the efficiency of the closed-form solution. It, to some extent, proves the accuracy and high-efficiency of the closed-form model of the valuation of credit derivatives based on portfolio in calculating small-scale portfolio.
作者 王涛 梁进
机构地区 同济大学数学系
出处 《系统工程》 CSCD 北大核心 2009年第5期49-54,共6页 Systems Engineering
关键词 违约时间联合分布 VASICEK模型 一篮子信用违约互换 蒙特卡罗模拟 封闭解有效性验证 Default Time Joint Distribution Vasicek Model Basket Credit Default Swaps Monte Carlo Simulation Validation Verification of the Closed-form Solution
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献7

  • 1Kijima M, Muromachi Y. Valuation of credit swap of the basket type [J]. Review of Derivatives Research, 2000,4 : 81- 97.
  • 2Kijima M, Muromachi Y. Credit events and the valuation of credit derivatives of basket type[J]. Review of Derivatives Research, 2000,4 : 55- 79.
  • 3Duffie D,Singleton K J. Credit risk pricing,measurement, and management [M]. Princeton University Press Princeton and Oxford, 2003.
  • 4Jarrow R, Robert A, Yu F. Counerparty risk and the pricing of defaultable securities[J]. Journal of Finance, 2001,56 : 555- 576.
  • 5Yu F. Correlated defaults in intensity-based models [J]. Mathematical Finance, 2007,17 : 155- 173.
  • 6Li D X. On default correlation: a copula function approach[Z]. 2000: 99- 107.
  • 7马俊美,梁进.一篮子信用违约互换定价的偏微分方程方法[J].高校应用数学学报（A辑）,2008,23(4):427-436. 被引量：5

二级参考文献13

  • 1[1]Hull J,White A.Valuing credit default swaps Ⅰ:no counter party default risk[J].Journal of Derivatives,2000,8:29-40.
  • 2[3]Kijima M,Muromachi Y.Valuation of credit swap of the basket type[J].Review of Derivatives Research,2000,4:81-97.
  • 3[4]Kijima M,Muromachi Y.Credit events and the valuation of credit derivatives of basket type[J].Review of Derivatives Research,2000,4:55-79.
  • 4[5]Duffle D,Singleton K J.Credit Risk Pricing,Measurement,and Management[M].Princeton and Oxford:Princeton University Press,2003.
  • 5[6]Kijima M,Komoribayashi K.A Markov chain model for valuing credit risk derivatives[J].Journal of Derivatives,Fall,1998:97-108.
  • 6[7]Elizalde A.Credit Risk Models I:Default Correlation in Intensity Models[M].GEMFI and Universidad Publica de Navarra,2006,4.
  • 7[8]Duffle D,Nicolae G.Risk and valuation of collateralized debt obligations[J].Financial Analyst's Journal,2001,57:41-59.
  • 8[9]Jarrow R,Robert A,Yu F.Counterparty risk and the pricing of defaultable securities[J].Journal of Finance,2001,56:555-576.
  • 9[10]Yu F.Correlated defaults in intensity-based models[J].Mathematical Finance,2007,17:155-173.
  • 10[11]Li D X.On default correlation:a copula function approach[J].Journal of Fixed Income,2000,9:43-54.

共引文献4

同被引文献48

  • 1马俊美,梁进.一篮子信用违约互换定价的偏微分方程方法[J].高校应用数学学报（A辑）,2008,23(4):427-436. 被引量：5
  • 2Merton R C. On the pricing of corporate debt:The risk structure of interest rates[J]. The Journal of Finance, 1974,29 (2) : 449-470.
  • 3Black F, Cox C. Valuing corporate securities:some effects of bond indenture provisions[J]. The Journal of Finance, 1976,31 (2) :351-367.
  • 4Zhou C. An analysis of default correlations and multiple defaults[J-[. Review of Financial Studies, 2001,14 (2) :555-576.
  • 5Hull J,White A. The valuation of credit default swap options[J]. Journal of Derivatives,2003,10(3):40-50.
  • 6Duffle D. First-to-default valuation[R]. Stanford, USA: Stanford University, 1998.
  • 7Kijima M. Valuation of a credit swap of the basket type[J]. Review of Derivatives Research,2000,4:79-95.
  • 8Iscoe I,Kreinin A. Recursive valuation of basket default swaps[J]. Journal of Computational Finance,2006,9(3) :95-116.
  • 9Choe G H, Jang H J. Thekth default time distribution and basket default swap pricing[J]. Quantitative Finance, 2011,1! (12) : 1793-1801.
  • 10O'Kane,Schloegl L. An analytical portfolio credit model with tail dependence[M]. IS. 1. ]:Lehman Brothers Quantitative Credit Research, 2003.

引证文献4

二级引证文献2

系统工程
2009年 第5期

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