经济数学
經濟數學
경제수학
MATHEMATICS IN ECONOMICS
2014年
4期
81-85
,共5页
信用违约互换%顺序统计量%t-Copula 方法%随机模拟
信用違約互換%順序統計量%t-Copula 方法%隨機模擬
신용위약호환%순서통계량%t-Copula 방법%수궤모의
credit default swaps%order statistics%t-Copula method%stochastic simulation
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。
為瞭刻畫分佈函數的厚尾特徵和違約的傳染性，構建瞭單因子t-Copula模型，以此研究一籃子信用違約互換(BDS)的定價問題。依據風險中性定價原理和順序統計量方法，分彆得到瞭第 k 次違約和n 箇參照實體中m 箇受保護的 BDS 價格的解析式。為瞭說明定價模型的有效性，用隨機模擬方法分析瞭相應的數值算例。
위료각화분포함수적후미특정화위약적전염성，구건료단인자t-Copula모형，이차연구일람자신용위약호환(BDS)적정개문제。의거풍험중성정개원리화순서통계량방법，분별득도료제 k 차위약화n 개삼조실체중m 개수보호적 BDS 개격적해석식。위료설명정개모형적유효성，용수궤모의방법분석료상응적수치산례。
The one factor t-Copula model was established to depict the fat-tail feature of the distribution and default con-tagion 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.
