This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the p...This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection's seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.展开更多
基金the National Natural Science Foundation of China(No.11271259)the China Postdoctoral Science Foundation(No.2014M551297)+1 种基金the Innovation Program of Shanghai Municipal Education Commission(No.13YZ125)the Funding Scheme for Training Young Teachers in Shanghai Colleges(No.ZZshjr12010)
文摘This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection's seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.
