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结构化模型下的贷款违约互换定价

LCDS pricing under structural frameworks
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摘要 文中考虑贷款违约互换(LCDS)的定价模型.影响定价的两个主要因素早偿和违约分别用引入早偿强度和结构化方法来刻画.模型可转换为二维偏微分方程的定解问题,通过降维求其解给出了LCDS的保费的定价公式,并在此基础上给出数值算例. A pricing model for Loan-only Credit Default Swaps （LCDS） is established in this article. Prepayment and default which are two main factors to impact the price are modeled by intensity and structure models respectively. The models can be reduced to high dimension initial- boundary problems of partial differential equations. A pricing formula is obtained by solving these problems using reducing dimension technique. Some numerical results are presented.
作者 戎嫣耘 杨晓丽 梁进
机构地区 同济大学数学系 中国农业银行上海分行
出处 《高校应用数学学报（A辑）》 CSCD 北大核心 2012年第2期146-156,共11页 Applied Mathematics A Journal of Chinese Universities(Ser.A)
基金 国家重点基础研究发展计划(973计划)(2007CB814903)
关键词 贷款信用违约互换 早偿 违约 结构化模型 loan credit default swap prepayment default structure model
分类号 F830.9 [经济管理—金融学]
  • 相关文献

参考文献13

  • 1Dobranszky P. Joint Modeling of CDS and LCDS Spreads with Correlated Default and Prepayment Intensities and with Stochastic Recovery Rate[Z]. working paper, Section of Statistics, K.U. Leuven, 2008. http://wis.kuleuven.be/stat/Paper/TRO804.pdf.
  • 2Dobranszky P, Schoutens W. Generic Levy One-Factor Models for the Joint Modeling of Prepayment and Default: Modeling LCDX[Z]. working paper, Section of Statistics, K.U. Leuven, 2008. http://wis.kuleuven.be/stat/Paper/TROSO3.pdf.
  • 3Zhen Wei. Valuation of Loan CDS under Intensity Based Model[Z]. working paper, Stanford University, 2007. http://www.stanford, edu/2henwei/papers/Icds.pdf.
  • 4Shek H, Uematsu S, Zhen W. Valuation of Loan CDS and LCDX[Z]. working paper, Stanford University, 2007. http ://papers. ssrn. com/sol3/papers, cfm ?abstract_id=1008201.
  • 5吴森,梁进.抵押贷款信用违约互换的定价[J].高校应用数学学报（A辑）,2011,26(3):269-278. 被引量：4
  • 6Zhou Yujing, Liang Jin. Valuation of a Basket Loan Credit Default Swap[J]. International Journal of Financial Research, 2010, 1: 21-29.
  • 7Liang Jin, Zhou Yujing. Valuation of a tranched Loan Credit Default[J]. Technology and Investment, 2011, 2: 240-246.
  • 8Liang Jin, Wang Tao. Valuation of Loan-only Credit Default Swap with Negatively Correlated Default and Prepayment Intensities[J]. to appear in International Journal of Computater Mathematics.
  • 9Tao Wang, Liang Jin, Yang Xiaoli. Pricing for a basket CDS and LCDS[J]. Modern Economy, 2012, 3(2): 171-178.
  • 10梁进,王涛,杨晓丽.考虑交易对手违约的单名LCDS定价以及cVA的计算[Z].working paper,同济大学数学系,2011.

二级参考文献9

  • 1Black F, Cox J. Valuing Corporate Securities: Some Effects of Bond Indenture Provisions[J]. Journal of Finance, 1976, 31: 351-367.
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  • 4Merton R. On the valuing of corporate debt: the risk structure of interest rates[J]. Journal of Finance, 1974, 29: 449-470.
  • 5Zhen Wei. Valuation of Loan CDS under intensity based model[Z], working paper, 2007.
  • 6Howard S, Shunichiro U, Zhen Wei. Valuation of loan CDS and CDX[Z]. Stanford University, working paper, 2007.
  • 7Latham, Watkins. Loan credit default swaps[R]. May, 22, 2007, http://www.iclg.co.uk/khadmin/Publications/pdf/1306.pdf.
  • 8Markit Loan CDS report[R]. Apirl, 10, 2007, http://www.markit.com/news/Markit-LCDS-Report.pdf.
  • 9周鹏,梁进.信用违约互换的定价方法[J].高校应用数学学报（A辑）,2007,22(3):311-315. 被引量：9

共引文献3

高校应用数学学报（A辑）
2012年 第2期

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