【作者】 欧阳异能；

【导师】 徐云；

【作者基本信息】 新疆大学 ， 应用数学， 2009， 硕士

【摘要】 信用衍生产品是20世纪90年代兴起的一种新型金融产品,是用来管理或转移信用风险的金融工具.它通过剥离和转让信用风险来降低资产持有者自身的风险暴露.上世纪90年代后期以来,信用衍生产品市场已经成为金融市场的重要组成部分.本文主要讨论信用违约互换的定价.分为三章:第一章为文献综述部分,介绍信用衍生产品市场现状及信用违约互换的定价原理.第二章讨论随机负债情形下单资产信用违约互换的定价,我们采用结构化模型框架下无套利原理的定价方法,利用具有漂移的布朗运动的最小值分布求得违约概率密度函数,给出单资产信用违约互换的定价公式.第三章讨论单因子模型对篮子信用违约互换的定价,引入了正态逆高斯分布对违约时间进行建模,得到违约时间分布和篮子违约互换定价公式的半分析表达式.最后应用数值模拟方法,比较了正态分布和正态逆高斯分布两种模型下首次违约互换的价格.更多还原

【Abstract】 Credit derivatives, new credit-protection practice arising in 1990s, are financialinstruments designed for managing or shifting credit risks. They can separate andtransfer credit risk of the assets in order to reduce the holder’s risk exposure. After1990s, the credit derivatives market has became an important component part offinancial derivatives market and risk transfer market.The topic of this paper is to research the problem of pricing of credit defaultswap. The wholes thesis consists of three chapters:In the chapter one, we introduced the development of credit derivatives marketand the pricing method of credit default swap.In the chapter two, we discuss the problem of pricing of credit default swapunder stochastic liabilities. Structural approaches and arbitrage-free principle areused to price the credit default swap. The function of default probability density isobtained by the distribution of the minimum of brown motion with drift, then weobtain the pricing formula of credit default swap by the above results.In the chapter three, we discuss the problem of pricing of basket default swapswith single factor model. we use Normal Inverse Gaussian distribution to buildmodel for default times, by doing that the semi-analytic expressions of distributionof default times and pricing formulae for basket default swaps are obtained. we alsocompare the first to default swaps’prices under Gaussian Model and Normal InverseGaussian Model with numerical examples in the last section.更多还原