摘要
信用联结票据,是根据一些信用事件(如违约),来支付利息和本金的一种票据,是一种与某种信用风险相结合的付息债券.应用马氏链方法,在没有考虑交易对手违约风险的前提下,考虑一篮子资产的首次违约的情况.首先给出不含对手违约风险的一篮子参考资产的信用联结票据的首次违约情况的现金流分析,进而考虑其相应的状态,在转移密度矩阵满足Markov Copula条件下,给出定价公式.
Credit link notes is based on some credit events （default）, to pay interest and capital, which is a kind of coupon bond combinesd with some credit risks. In this article using the method of Markov chains, without considering the counterparty default risk, the first time of default for a basket assets is thought. First the cash flow analysis for the first default CLN of a basket of reference assets without counterparty credit risk os govern, and then the corresponding state os cpmsodered, assuming the transition density matrix satisfies the condition Markov copula, the pricing formula is given.
出处
《哈尔滨师范大学自然科学学报》
CAS
2016年第4期1-4,共4页
Natural Science Journal of Harbin Normal University
基金
国家自然科学基金项目(11471091)
