| 基于Copula方法的含交易方违约的信用违约互换定价 |
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| 引用本文： | 欧阳异能,徐云.基于Copula方法的含交易方违约的信用违约互换定价[J].兵团教育学院学报,2009,19(3):36-39. |
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| 作者姓名： | 欧阳异能 徐云 |
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| 作者单位： | 1. 新疆大学,数学与系统科学学院,新疆,乌鲁木齐,830046;石河子大学师院/兵团教院,新疆,石河子,832003
2. 新疆大学,数学与系统科学学院,新疆,乌鲁木齐,830046 |
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| 摘 要： | 本文讨论了含交易方违约的信用违约互换定价问题，应用无套利原理得到了模型的价格，文章采用蒙特卡洛方法对模型进行了数值模拟，讨论了模型的价格与合约期限以及公司违约相关系数的关系。
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| 关 键 词： | 信用违约互换 交易方风险 Copula函数 蒙特卡洛方法 |
The Pricing of Credit Default Swap with Counterparty Risk Based on Copula Approach |
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| OUYANG Yi-neng,XU Yu.The Pricing of Credit Default Swap with Counterparty Risk Based on Copula Approach[J].Journal of Bingtuan Education Institute,2009,19(3):36-39. |
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| Authors: | OUYANG Yi-neng XU Yu |
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| Institution: | 1;2;1.College of Mathematics and System Science;Xinjiang University;Urumqi 830046;China;2.Teachers College of Shihezi University/Bingtuan Education Institute;Shihezi Xinjiang 832003;China |
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| Abstract: | The paper discusses the problem of pricing of credit default swap with counterparty risk,and obtains the pricing formula of the model with arbitrage-free principle.The prices of the model are obtained by means of the Monte-Carlo simulation.It analyses the relationship between the prices and the maturity and the default correlation coefficient. |
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| Keywords: | credit default swap counterparty risk copula function Monte-Carlo method |
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