摘要
在互换合约中如何给违约风险定价仍然是最令人关注的事情。本文在无违约风险货币互换定价模型的基础上,引入了信用价差对无风险贴现利率进行调整,从而有效地对双向违约风险下的货币互换进行定价。同时,通过案例分析,对考虑违约风险和无违约风险条件下的货币互换合约的价格进行比较,实证结果表明,违约风险条件下货币互换合约的价格高于无违约风险条件下货币互换合约的价格。
The pricing model of swap considering the default risk is one of those people most interested in. This paper gave the default risk pricing model of currency swap through adjusting short spot interest rate using credit spread, on the bases of the original non-risk one. Meanwhile, through case studying, we compare the price of currency swap contracts with default risk with that of currency swap contracts with no default risk. And the results show that, the price of curren- cy swap contracts with default risk is higher than that of currency swap contracts with no default risk
出处
《预测》
CSSCI
北大核心
2009年第6期76-80,共5页
Forecasting
关键词
货币互换
违约风险
汇率风险
信用价差
currency swap
default risk
foreign exchange rate risk
credit spread
