Recovering default risk from CDS spreads with a nonlinear filter

Alexander Guarin; Xiaoquan Liu; Wing Lon Ng

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Recovering default risk from CDS spreads with a nonlinear filter

机译：使用非线性过滤器从CDS价差中恢复默认风险

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摘要

We propose a nonlinear filter to estimate the time-varying default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker-Planck equation (FPE) using a meshfree interpolation method, the filter performs a joint estimation of the risk-neutral default intensity and CIR model parameters. As the FPE can account for nonlinear functions and non-Gaussian errors, the proposed framework provides outstanding flexibility and accuracy. We test the nonlinear filter on simulated spreads and apply it to daily CDS data of the Dow Jones Industrial Average component companies from 2005 to 2010 with supportive results.

机译：我们提出了一种非线性过滤器，用于根据信用违约掉期（CDS）价差的期限结构估算随时间变化的违约风险。基于使用无网格插值方法的Fokker-Planck方程（FPE）的数值解，该滤波器对风险中性默认强度和CIR模型参数进行联合估计。由于FPE可以解决非线性函数和非高斯误差，因此所提出的框架具有出色的灵活性和准确性。我们在模拟利差上测试了非线性滤波器，并将其应用于道琼斯工业平均指数成分公司从2005年至2010年的每日CDS数据，并获得了支持性结果。

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来源
《Journal of Economic Dynamics and Control》 |2014年第1期|87-104|共18页
作者
Alexander Guarin; Xiaoquan Liu; Wing Lon Ng;
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作者单位

Centre for Computational Finance and Economic Agents, University of Essex, Colchester CO4 3SQ, UK ,Banco de la Republica. Carrera 7 No. 14-78, Bogota, Colombia;

Essex Finance Centre and Essex Business School, University of Essex, Colchester CO4 3SQ, UK;

Centre for Computational Finance and Economic Agents, University of Essex, Colchester CO4 3SQ, UK;

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正文语种 eng
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关键词
CDS spreads; Meshfree methods; Radial basis function interpolation; Fokker-Planck equation; CIR model;

机译：CDS价差;无网格方法;径向基函数插值;福克-普朗克方程;CIR模型;

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7. Recovering default risk from CDS spreads with a nonlinear filter [O] . Guarin Alexander, Liu Xiaoquan, Ng Wing Lon 2014

机译：使用非线性过滤器从CDS价差中恢复默认风险

Recovering default risk from CDS spreads with a nonlinear filter

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