利用传染模型对含有对手风险的信用证券定价(英文)

本文利用传染模型研究了可违约债券和含有对手风险的信用违约互换的定价。我们在约化模型中引入具有违约相关性的传染模型,该模型假设违约过程的强度依赖于由随机微分方程驱动的随机利率过程和交易对手的违约过程.本文模型可视为Jarrow和Yu(2001)及Hao和Ye(2011)中模型的推广.进一步地,我们利用随机指数的性质导出了可违约债券和含有对手风险的信用违约互换的定价公式并进行了数值分析.

The Pricing of Credit Securities with Counterparty Risk using a Contagion Model

In this paper, we study the pricing of defaultable bonds and credit default swaps with counterparty risk using a contagion model. We present a contagion model of correlated defaults in a reduced model. The model assumes the intensities of default processes depend on the stochastic interest rate process driven by a stochastic differential equation and the default process of a counterparty. These are extensions of the models in Jarrow and Yu (2001) and Hao and Ye (2011). Moreover, we derive the explicit formulae for the pricing of defaultable bonds and credit default swap with counterparty risk using the properties of stochastic exponentials and make some numerical analysis on the explicit formulae.