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Pricing credit derivatives

机译：信用衍生产品定价

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The financial crisis set off by the default of Lehman Brothers in 2008 leading to disastrous consequences for the global economy has focused attention on regulation and pricing issues related to credit derivatives. Credit risk refers to the potential losses that can arise due to the changes in the credit quality of financial instruments. These changes could be due to changes in the ratings, market price (spread) or default on contractual obligations. Credit derivatives are financial instruments designed to mitigate the adverse impact that may arise due to credit risks. However, they also allow the investors to take up purely speculative positions. In this article we provide a succinct introduction to the notions of credit risk, the credit derivatives market and describe some of the important credit derivative products. There are two approaches to pricing credit derivatives, namely the structural and the reduced form or intensity-based models. A crucial aspect of the modelling that we touch upon briefly in this article is the problem of calibration of these models. We hope to convey through this article the challenges that are inherent in credit risk modelling, the elegant mathematics and concepts that underlie some of the models and the importance of understanding the limitations of the models.
机译：雷曼兄弟（Lehman Brothers）于2008年违约引发的金融危机给全球经济带来灾难性后果，这已将注意力集中在与信用衍生产品相关的监管和定价问题上。信用风险是指由于金融工具信用质量的变化而可能引起的潜在损失。这些变化可能是由于评级，市场价格（价差）的变化或合同义务的违约。信用衍生产品是旨在减轻可能因信用风险而产生的不利影响的金融工具。但是，它们也允许投资者承担纯粹的投机性头寸。在本文中，我们对信用风险，信用衍生产品市场的概念进行了简要介绍，并介绍了一些重要的信用衍生产品。信用衍生产品定价有两种方法，即结构模型和简化形式或基于强度的模型。我们在本文中简要介绍的建模的一个关键方面是这些模型的校准问题。我们希望通过本文传达信用风险建模固有的挑战，构成某些模型基础的优雅数学和概念以及理解模型局限性的重要性。

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