摘要
构建有效的信用违约互换定价模型,是信用违约互换研究的核心。针对核心问题,在信用违约互换基本原理的基础上,从信用违约互换的现金流出发,对信用违约互换的价值进行分析,并采用风险中性理论,根据面值挽回率的偿付结构得到信用违约互换定价的基本模型。
The credit default swap pricing model is the core of the credit default swap research. Based on the basic principle of credit default swap, this paper analyses the value of credit default swap in terms of its cash flow for this core problem. Furthermore, the paper uses the risk neutral theory, and develops the basic model for credit default swap on the basis of the recovery structure of face value.
出处
《科技与管理》
CSSCI
2008年第1期72-74,共3页
Science-Technology and Management
