| 基于信用等级迁移的信用违约互换定价 |
| |
| 引用本文： | 王乐乐,李琳,边保军.基于信用等级迁移的信用违约互换定价[J].同济大学学报(自然科学版),2010,38(4):613-618. |
| |
| 作者姓名： | 王乐乐 李琳 边保军 |
| |
| 作者单位： | 1. 同济大学,数学系,上海,200092
2. 同济大学,经济与管理学院,上海,200092 |
| |
| 基金项目： | 国家自然科学基金资助项目，国家"九七三"重点基础研究发展计划资助项目 |
| |
| 摘 要： | 研究了参考债券具有信用等级结构的信用违约互换(CDS)的定价.考虑债券处于不同的等级,且债券的违约强度和回收率随着债券在等级间的迁移不断变化;基于转移矩阵和回收率向量,构建了常微分方程组(ODE)方程来求解信用违约互换的或有赔付和保费支付的价值,并给出了其解析解,从而确定了CDS保费费率和CDS的价值.最后通过数值分析验证理论结果.
|
| 关 键 词： | 信用违约互换 转移矩阵 回收率向量 常微分方程组 |
| 收稿时间： | 2009/3/31 0:00:00 |
| 修稿时间： | 1/21/2010 2:21:16 PM |
The Pricing of Credit Default Swap Based on Credit Rating |
| |
| wanglele,Li lin and Bian Baojun.The Pricing of Credit Default Swap Based on Credit Rating[J].Journal of Tongji University(Natural Science),2010,38(4):613-618. |
| |
| Authors: | wanglele Li lin and Bian Baojun |
| |
| Institution: | Math Department, Tongji University,Economics and management school, Tongji University,Math Department, Tongji University |
| |
| Abstract: | This paper presents a study of the pricing of credit default swap(CDS)of the reference bond with credit ranks.Based on the fact that the default probability and recovery rate are always changing,two ordinary differential equation(ODE) systems corresponding to coupon leg and default leg are obtained by transition matrix and recovery vector.Furthermore,both explicit solution of ODE system are given to determine the premium of CDS.Finally numerical analysis verifies the effectiveness of the proposed model. |
| |
| Keywords: | credit default swap transition matrix recovery vector ordinary differential equation(ODE) system |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《同济大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《同济大学学报(自然科学版)》下载免费的PDF全文 |
