| 基于t-Copula的一篮子信用违约互换定价模型 |
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| 引用本文：张茂军， 赵雪妮.基于t-Copula的一篮子信用违约互换定价模型[J].经济数学,2014,(4):81-85 |
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| 中文摘要:为了刻画分布函数的厚尾特征和违约的传染性，构建了单因子t-Copula模型，以此研究一篮子信用违约互换(BDS)的定价问题。依据风险中性定价原理和顺序统计量方法, 分别得到了第k次违约和n个参照实体中m个受保护的BDS价格的解析式．为了说明定价模型的有效性，用随机模拟方法分析了相应的数值算例． |
| 中文关键词:信用违约互换 顺序统计量 t-Copula方法 随机模拟 |
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| Basket Default Swaps Pricing Based on t-Copula Method |
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| Abstract:The one factor t-Copula model was established to depict the fat-tail feature of the distribution and default contagion in order to research the pricing of the basket default swaps (BDS). The closed solutions of prices at the k-th default and m out of n reference entities in BDS were obtained using the risk-neutral pricing principle and the method for order statistics. Moreover, some numerical examples were analyzed to indicate the effectiveness of the pricing model in terms of the stochastic simulation method. |
| keywords:credit default swaps order statistics t-Copula method stochastic simulation |
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