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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作者单位
张茂军, 赵雪妮 (桂林电子科技大学 数学与计算科学学院广西高校数据分析与计算重点实验室广西 桂林 541004) 
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
 
Basket Default Swaps Pricing Based on t-Copula Method
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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