| 违约强度由Lévy从属过程驱动的约化信用风险模型及信用违约互换的定价 |
| |
| 引用本文： | 胡凤清,王过京.违约强度由Lévy从属过程驱动的约化信用风险模型及信用违约互换的定价[J].应用概率统计,2012,28(3):263-269. |
| |
| 作者姓名： | 胡凤清 王过京 |
| |
| 作者单位： | 苏州大学数学科学学院与金融工程研究中心 |
| |
| 基金项目： | 教育部博士点基金(20093201110013);福建省教育厅基金(JA11208)资助 |
| |
| 摘 要： | 本文引入一个约化信用风险模型,其中违约强度定义为从属过程,即非负增Lévy过程.用概率方法得到了违约时间分布的解析表达式.利用该解析表达式,给出了该信用风险模型下的信用违约互换(Credit Default Swaps)的闭形式的定价公式.
|
| 关 键 词： | 从属过程 无穷小算子 零息票债券 信用违约互换 |
The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes |
| |
| Hu Fengqing Wang Guojing.The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes[J].Chinese Journal of Applied Probability and Statisties,2012,28(3):263-269. |
| |
| Authors: | Hu Fengqing Wang Guojing |
| |
| Institution: | Department of Mathematics and Center for Financial Engineering, Soochow University |
| |
| Abstract: | For a reduced form model of credit risk,
we use Cox process whose intensity process is a subordinator process
to define the default time of the company. We derive closed forms of
the distribution of the company's default time. We also derive the
fair price of the defaultable zero coupon bond and the credit spread
of the credit default swaps. |
| |
| Keywords: | |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《应用概率统计》浏览原始摘要信息 |
| 点击此处可从《应用概率统计》下载免费的PDF全文 |
