摘要
信用衍生品作为现代金融市场中重要的转移,对冲信用风险的工具,在近期的金融危机中扮演了重要的角色。如何有效地对这些信用衍生品进行有效的定价成为国内外学者研究这次金融危机起因和它对日后金融市场的启示的重要切入点。通过信息完全性方面不同的视角系统的梳理和回顾了近几十年来的主流信用衍生品定价理论,并对未来该理论的发展趋势进行评述与总结。
As the most important tool to manage or hedge the credit risk in the modern financial market, credit derivatives had played the key role in the recent financial crisis. How to price the credit derivatives effectively and precisely is concerned by many scholars when they are trying to research how the financial crisis break out or how to deal with it. This paper had looked back the theory for pricing credit derivatives with different aspects, and we also try to forecast how the theory will develop in the future.
出处
《经济研究导刊》
2009年第15期96-99,177,共5页
Economic Research Guide
关键词
信用衍生产品
结构模型
简化模型
违约相关性
credit derivatives
structure model
simplify model
Default Correlation
