信用衍生产品市场定价基本模型

Market Pricing Models On Credit Derivatives

信用衍生产品是有效分散、转移以及对冲信用风险的重要工具.随着信用衍生品市场的快速发展,如何对信用衍生品进行准确定价一直是该领域的研究焦点.本文基于"结构模型"和"简约模型"基本分析框架,结合信用衍生品定价理论对信用衍生产品的估价模型进行较为系统的对比分析,并对未来的发展趋势作一简要展望.

Credit derivative is an important tool of dispersing, transferring and hedging credit risk. As credit derivatives market fast developed, the issue of how to determinate accurately credit derivatives＇ price has been the recent research focus. Based on the “structural model” and“simplified model” analysis framework, these models are evaluated, and their future development trend is briefly summarized.