| 交易对手信用违约事件与信用违约互换公允价值 |
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| 引用本文： | 杨星,胡国强.交易对手信用违约事件与信用违约互换公允价值[J].系统工程理论与实践,2013,33(6):1389-1394. |
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| 作者姓名： | 杨星 胡国强 |
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| 作者单位： | 暨南大学 经济学院 金融系 金融研究所, 广州 510632 |
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| 基金项目： | 国家社会科学基金(11BGJ013) |
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| 摘 要： | 本文在分析交易对手违约的基本信用事件基础上,运用生存分析技术研究了交易对手信用违约事件对信用违约互换合约价格的影响. 本文的研究表明: (1)不同的信用事件对信用违约互换合约的价格是有影响的,包含考虑交易对手违约事件的信用违约互换价格比不包含时会更低; (2)参考资产和卖方违约的相关性在信用衍生品的定价中至关重要,无论相关系数为正或为负,都会影响到信用违约互换的合理估值.
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| 关 键 词： | 信用违约事件 信用违约互换价格 交易对手风险 违约相关性 |
| 收稿时间： | 2012-05-16 |
Counterparty credit events and the sound value of credit default swap |
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| YANG Xing
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HU Guo-qiang.Counterparty credit events and the sound value of credit default swap[J].Systems Engineering —Theory & Practice,2013,33(6):1389-1394. |
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| Authors: | YANG Xing HU Guo-qiang |
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| Institution: | Finance Institute, Department of Finance, College of Economics, Jinan University, Guangzhou 510632, China |
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| Abstract: | This paper was based on the analysis of the basic credit default events of counterparty risk, using survival analysis technology to research the price of credit default swap. Study shows: (a) The different credit event is influential on the price of credit default swaps. CDS prices contain counterparty default events would be even lower than that without contain counterparty; (b) The default correlation between reference asset and seller is crucially important in CDS valuing. No matter the correlation coefficient is positive or negative, it will influence the reasonable valuation of credit default swap. |
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| Keywords: | credit default events price of credit default swap counterparty risk default correlation |
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