系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2011年
6期
993~1003
,共null页
互换期权 交易对手风险 信用评级 时变Markov链模型
互換期權 交易對手風險 信用評級 時變Markov鏈模型
호환기권 교역대수풍험 신용평급 시변Markov련모형
swaption; counterparty risk; credit rating; time-varying Markov chain model
提出具有似扩散行为的共同因素与特定评级因素及其驱动下的时变Markov链模型,在仿射期限结构框架下建立了考虑交易对手信用风险的互换期权定价模型.以1998年1月-2008年12月美国国债的收益率数据及评级机构穆迪的信用评级数据为样本,利用卡尔曼滤波技术与约束非线性最小二乘法对模型进行了参数估计.主要结果为：首先,以似扩散过程的形式引入具有权重影响的共同因素与特定评级因素,构建了基于信用评级的时变Markov链模型;其次,建立了含信用风险的互换期权定价模型,给出了该期权的闭式解;最后,分析了交易对手方信用等级状况的变化对互换期权定价的影响.
提齣具有似擴散行為的共同因素與特定評級因素及其驅動下的時變Markov鏈模型,在倣射期限結構框架下建立瞭攷慮交易對手信用風險的互換期權定價模型.以1998年1月-2008年12月美國國債的收益率數據及評級機構穆迪的信用評級數據為樣本,利用卡爾曼濾波技術與約束非線性最小二乘法對模型進行瞭參數估計.主要結果為：首先,以似擴散過程的形式引入具有權重影響的共同因素與特定評級因素,構建瞭基于信用評級的時變Markov鏈模型;其次,建立瞭含信用風險的互換期權定價模型,給齣瞭該期權的閉式解;最後,分析瞭交易對手方信用等級狀況的變化對互換期權定價的影響.
제출구유사확산행위적공동인소여특정평급인소급기구동하적시변Markov련모형,재방사기한결구광가하건립료고필교역대수신용풍험적호환기권정개모형.이1998년1월-2008년12월미국국채적수익솔수거급평급궤구목적적신용평급수거위양본,이용잡이만려파기술여약속비선성최소이승법대모형진행료삼수고계.주요결과위：수선,이사확산과정적형식인입구유권중영향적공동인소여특정평급인소,구건료기우신용평급적시변Markov련모형;기차,건립료함신용풍험적호환기권정개모형,급출료해기권적폐식해;최후,분석료교역대수방신용등급상황적변화대호환기권정개적영향.
This paper suggests a time-varying Markov chain model with weighted common and rating specific factors as diffusion-like behavior in affine term structure framwork,which is applicable to pricing of swaption with counterparty risk.Based on monthly yield data of US Treasury for the period of Jan 1998 to Dec 2008 and Moody＇s rating data,Kalman filter and constrained nonlinear least square are used to estimate the models.The main results of this paper are：First,the model with common and rating specific factors as diffusion-like process is introduced.Second,the valuation model of swaption with counterparty risk is studied and the closed form solution is also obtained.Finally,we show that the impact of credit standing of counterparty on the price of swaption.
