• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>International conference on management of technology >Pricing of Credit Default Swaps under Hybrid Model
【24h】

Pricing of Credit Default Swaps under Hybrid Model

机译：混合模型下信用违约互换的定价

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The credit derivatives can solve the dilemma of the credit paradox that generally exists in our commercial banks. To carry out the instruments in china's banks, the priority we need to settle should be their prices. The paper concentrates on research of the pricing of the Credit default swaps (CDSs), which is the essential instrument of the credit derivatives. CDSs were usually priced separately under structure model or intensity model, but the two models have their disadvantages respectively. The article attempts to price the CDS under the hybrid model, which combine the two common pricing models. We take the structure model to determine the contingent payment of the counterparty of the CDS. We use the intensity model to determine the probability distribution of the default time of reference assets, accordingly to determine the total protection payment from the credit protection buyer. Under the arbitrage-free complete market, the contingent payment should be amount to the total protection payment.From the equation, we can deduce the swap premium formula of the CDS that the counterparty has default risk.
机译：信用衍生产品可以解决我们商业银行普遍存在的信用悖论的困境。为了在中国的银行中执行这些工具，我们需要解决的优先事项应该是它们的价格。本文主要研究信用违约掉期（CDS）的定价，信用违约掉期（CDS）是信用衍生工具的基本工具。 CDS通常在结构模型或强度模型下分别定价，但是这两种模型各有其缺点。本文尝试在混合模型下对CDS进行定价，该模型结合了两种常见的定价模型。我们采用结构模型来确定CDS交易对手的或有付款。我们使用强度模型来确定参考资产的默认时间的概率分布，从而确定来自信用保护购买者的总保护付款。在无套利的完全市场下，或有支付额应等于总保护支付额。从等式中，我们可以推导出对手方具有违约风险的信用违约掉期的掉期溢价公式。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号