摘要
本文研究了基于双边交易对手风险的信用违约互换(CDS)的定价问题,建立了以分层Copula为核心的CDS定价公式.分析了不同变量间违约相关性变化对CDS票息率的影响,并且通过与一般多元copula模型进行比较,展示了分层Copula在刻画多变量不同违约相关性情况下的优势,对如何建立更合理的CDS定价公式进行一定的探究.
By studying a pricing problem about credit default swaps based on bilateral counterparty risk, we construct a CDS pricing equation with hierarchical copula. We analyse the variation of CDS spread when different variables＇ default correlation has been changed; and compare with general multivariate copula. Then we show hierarchical copula is better in capturing different default correlation for multivariate, and makes some attempts to construct a fairly and reasonable CDS pricing equation.
出处
《中央民族大学学报（自然科学版）》
2017年第3期91-96,共6页
Journal of Minzu University of China(Natural Sciences Edition)
基金
中央民族大学自主科研项目(No.2016LXY09)
中央民族大学一流大学与一流学科建设过渡经费专项资金
