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随机挽回率下第n次违约互换的蒙特卡罗模拟定价 被引量：1

Nth CDS Monte Carlo Pricing Under Stochastic Recovery Rates
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摘要 考虑到挽回率是违约互换定价的重要因素,同时获得准确的挽回率也是极其困难的,于是假设挽回率是随机的,并与对应资产违约时间呈Copula类相依结构。在该假设条件下提出一种对第n次违约互换定价的模拟算法。通过实证模拟发现,恒定挽回率,独立随机挽回率和Copula结构的挽回率对应的定价结果相差较大。 Recovery rates play an important role in Nth CDS pricing,while,it＇s difficult to get realistic recovery rates.We assume that the recovery rates are stochastic and follow different Copulas with corresponding default times.Under this assumption,we develop a simulation algorithm to price the Nth CDS.According to the result of simulation pricing,the prices of Nth CDS are different under the condition of constant recovery rates,stochastic independent recovery rates and Copula structure recovery rates.
作者 吴恒煜 陈鹏
机构地区 华南理工大学工商管理学院 江西财经大学金融学院 财富证券固定收益部
出处 《运筹与管理》 CSSCI CSCD 北大核心 2012年第2期140-146,共7页 Operations Research and Management Science
基金 国家自然科学基金资助项目(70861003,71171168,70825005) 中国博士后基金资助项目(20110490877) 教育部人文社会科学一般项目(09YJA790092,10YSA790200) 江西省教育厅科技计划项目(GJJ10427)
关键词 随机挽回率 违约互换 COPULA stochastic recovery rates credit default swap copula
分类号 F830 [经济管理—金融学]
  • 相关文献

参考文献15

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二级参考文献18

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共引文献27

同被引文献26

  • 1Li D X.On default correlation:A copula function approach[J].The Journal of Fixed Income,2000,9(4):43-54.
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  • 4Hull J C,White A D.Valuation of a CDO and an iV-th to default CDS without Monte Carlo simulation[J].The Journal of Derivatives,2004,12(2):8-23.
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  • 10Joshi M S,Kainth D.Rapid and accurate development of prices and Greeks forth to default credit swaps in the Li model[J].Quantitative Finance,2004,4(3):266-275.

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运筹与管理
2012年 第2期

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