摘要
约化信用风险模型是一类非常重要的信用风险模型,在约化模型中,如何对违约相关性进行建模是很关键的.本文在约化模型框架中进入引入稀疏相关性,具有违约相关性的两个公司的联合生存概率可以推出来,在此基础上,我们得到了信用违约互换(具有对手风险或者没有对手风险)的互换率的解析表达式.最后我们作了数值分析,发现稀疏相关模型可以较好地刻画公司之间的违约相关性.
The class of reduced form models is a very important class of credit risk models, and the modelling of the default dependence structure is essential in the reduced form models. This paper models dependent defaults under a thinning-dependent structure in the reduced form framework. In our tractable model, the joint survival probability for correlated defaults can be derived, and hence the CDS premium rates （with or without counterparty risk） are given in closed form. The numerical result shows that the thinningdependent structure is effective to model the default dependence.
出处
《应用概率统计》
CSCD
北大核心
2012年第6期655-664,共10页
Chinese Journal of Applied Probability and Statistics
基金
教育部博士点基金(20093201110013)
江苏省自然科学基金(BK2012613)
苏州科技学院科研基金青年项目(XKQ201211)资助
关键词
约化模型
违约相关性
稀疏相关结构
信用违约互换
对手信用风险
互换率
Reduced form model, default correlation, thinning-dependence structure, credit default swaps （CDS）, counterparty risk, swap premium rate.
