基于尾部相关混合Copula模型的BDS定价研究

Pricing Research of BDS Based on Mixed Copulas with Tail Dependence

本文采用Clayton Copula函数和Gumbel Copula函数的线性组合来构造具有尾部相关特性的混合Copula函数来描述参考资产间的违约相关结构,从而得到基于具有尾部相关特性的混合Copula函数的一篮子信用违约互换(BDS)的定价模型。对该定价模型运用蒙特卡洛模拟求出BDS价格并进行比较分析。结果表明:混合Copula函数更加充分地刻画了参考资产间的违约相关关系,并且基于混合Copula函数的BDS定价模型考虑了参考资产间违约相关程度和违约相关模式对BDS价格的综合影响。

The paper employs a linear combination of Clayton Copula function and Gumbel Copula function to construct the mixed Copula functions with tail dependent characteristics to describe the structure of default correlation between the reference assets. We can obtain pricing model of a basket of credit default swaps( BDS) based on the mixed Copula functions with tail dependent characteristic at last. We apply Monte Carlo simulation to figure out BDS price for the pricing model and get on comparative analysis. The results showed that: the mixed Copula functions more fully characterize the default correlation between the reference asset and pricing model of BDS based on the mixed Copula functions considering the comprehensive impact of default related extent and default related pattern between the reference assets on BDS prices.