| 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]. 湖南农业大学学报(自然科学版), 2014, 0(4): 81-85 |
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| 作者姓名： | 张茂军 赵雪妮 |
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| 作者单位： | （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） |
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| 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．
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| 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 |
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| ZHANG Mao-jun,ZHAO Xue-ni. Basket Default Swaps Pricing Based on t-Copula Method[J]. Journal of Hunan Agricultural University, 2014, 0(4): 81-85 |
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| Authors: | ZHANG Mao-jun ZHAO Xue-ni |
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| Affiliation: | (School of Mathematics and Computational Science, Guangxi Colleges and University key Laboratory of Data Analysis and Computation,Guilin University of Electronic Technology, Guilin, Guangxi 541004,China) |
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| 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. |
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| Keywords: | credit default swaps order statistics t-Copula method stochastic simulation |
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