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第n个违约互换的解析定价算法 被引量：1

An Analytic Approach of Valuing nth-to-default Swaps
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摘要 研究了第n个信用违约互换的定价问题.在参考信用体违约相关但本金不同的最一般情形下,得到了第n个违约互换权益金的解析表达式,避免了以往信用衍生产品定价方法对Monte Carlo模拟的依赖.数值实验证明了此方法的可行性和高效性. The valuation of an nth-to-default swap is studied. In the most general situation where defaults of reference credits are correlated but principles and recovery rates are different across credits, it presents an analytic expression for the spread of an nth-to-default swap. This approach dose not involve Monte Carlo simulation which is commonly used in pricing credit derivatives. Numerical examples prove the feasibility and efficiency of the method.
作者 马岩 陈典发
机构地区 南开大学数学科学学院 南开大学经济学院
出处 《南开大学学报（自然科学版）》 CAS CSCD 北大核心 2009年第5期38-43,共6页 Acta Scientiarum Naturalium Universitatis Nankaiensis
关键词 第n个信用违约互换的定价 因子copula 算子 解析表达式 valuing nth-to-default swap factor copula operator analytic expression
分类号 O211.63 [理学—概率论与数理统计]
  • 相关文献

参考文献5

  • 1Laurent J P, Gregory J. Basket default swaps, CDO's and factor copulas[J]. Journal of Risk, 2005, 7(4):103- 122.
  • 2Andersen L, Sidenius J, Basu S. All your hedges in one basket[J]. Risk, 2003, November: 67-72.
  • 3Hull J, White A. Valuing credit default swaps II: Modeling default correlations[J]. Journal of Derivatives, 2001, 8(3): 12-22.
  • 4Hull J, White A. Valuation of a CDO and nth to default CDS without Monte Carlo simulation[J]. Journal of Derivatives, 2004, 12(2): 8-23.
  • 5Li D X. On default correlation: A copula function approach[J]. Journal of Fixed Income, 2000, 9: 43-54.

同被引文献26

  • 1Li D X.On default correlation:A copula function approach[J].The Journal of Fixed Income,2000,9(4):43-54.
  • 2Schonbucher P J.Credit Derivatives Pricing Models:Models,Pricing,Implementation[M].John Wiley&Sons,2003.
  • 3Bielecki T R,Rutkowski M.Credit Risk Modeling,Valuation,and Hedging[M],Springer,2002.
  • 4Hull J C,White A D.Valuation of a CDO and an iV-th to default CDS without Monte Carlo simulation[J].The Journal of Derivatives,2004,12(2):8-23.
  • 5Laurent J P,Gregory J.Basket default swaps,CDOs and factor copulas[J].Journal of Risk,2005,7(4):103-122.
  • 6Iscoe I,Kreinin A.Recursive valuation of basket default swaps[J].Journal of Computational Finance,2006,9(3):95-116.
  • 7Schroter A,Heider P.An analytical formula for pricing m-th to default swaps[J].Journal of Applied Mathematics and Computing,2013,41(1-2):229-255.
  • 8Embrechts P,McNeil A,Straumann D.Correlation:Pitfalls and alternatives[J].Risk,1999,12:69-71.
  • 9Embrechts P,Lindskog F,McNeil A.Modeling dependence with copulas and applications to risk management[J].Handbook of Heavy Tailed Distributions in Finance,2003,8(1):329-384.
  • 10Joshi M S,Kainth D.Rapid and accurate development of prices and Greeks forth to default credit swaps in the Li model[J].Quantitative Finance,2004,4(3):266-275.

引证文献1

南开大学学报（自然科学版）
2009年 第5期

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