CDS的拍卖结算模型

CDS auction settlement model

信用违约互换是国外债券市场中最常见的信用衍生品,随着业务的发展,信用违约发生后其结算流程与结算效率也逐渐受到市场参与者的关注。通过对国际上信用违约拍卖结算机制运作原理的简单介绍,建立了拍卖结算模型,并给出了实际案例。

Credit default swap is the most common credit derivative In the foreign bond market .Following business development, the settlement process and efficiency upon occurrence of a credit event gradually become the focus of market participants. This article gives a simple introduction for the principle of operation of the credit event auction, establishes the auction settlement model, and gives the actual case.