| 基于t-Copula的一篮子信用违约互换定价模型 |
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| 引用本文： | 张茂军,赵雪妮.基于t-Copula的一篮子信用违约互换定价模型[J].经济数学,2014(4):81-85. |
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| 作者姓名： | 张茂军 赵雪妮 |
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| 作者单位： | 桂林电子科技大学 数学与计算科学学院，广西高校数据分析与计算重点实验室，广西 桂林 541004 |
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| 基金项目： | 国家自然科学基金资助项目，广西自然科学基金资助项目，上海市博士后基金资助项目，中国博士后基金资助项目 |
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| 摘 要： | 为了刻画分布函数的厚尾特征和违约的传染性,构建了单因子t-Copula模型,以此研究一篮子信用违约互换(BDS)的定价问题。依据风险中性定价原理和顺序统计量方法,分别得到了第k次违约和n个参照实体中m个受保护的BDS价格的解析式.为了说明定价模型的有效性,用随机模拟方法分析了相应的数值算例.
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| 关 键 词： | 信用违约互换 顺序统计量 t-Copula 方法 随机模拟 |
Basket Default Swaps Pricing Based on t-Copula Method |
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| ZHANG Mao-jun,ZHAO Xue-ni.Basket Default Swaps Pricing Based on t-Copula Method[J].Mathematics in Economics,2014(4):81-85. |
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| Authors: | ZHANG Mao-jun ZHAO Xue-ni |
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| Institution: | ( School of Mathematics and Computational Science, Guangxi Colleges and University key Laboratory of Data Analysis and Computation ,Guilin University of Electronic Technology , Guilin, Guangxi 541004,China) |
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| Abstract: | The one factor t-Copula model was established to depict the fat-tail feature of the distribution and default con-tagion in order to research the pricing of the basket default swaps （BDS）.The closed solutions of prices at the k-th default and m out of n reference entities in BDS were obtained using the risk-neutral pricing principle and the method for order statistics. Moreover,some numerical examples were analyzed to indicate the effectiveness of the pricing model in terms of the stochastic simulation method. |
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| Keywords: | credit default swaps order statistics t-Copula method stochastic simulation |
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