A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk | |
Liang, Xue1,2; Dong, Yinghui1 | |
刊名 | COMMUNICATIONS IN STATISTICS-THEORY AND METHODS |
2014-02 | |
卷号 | 43期号:3页码:498-514 |
关键词 | Bilateral counterparty risk Credit default swaps Markov chain Markov copulae approach Unilateral counterparty risk |
ISSN号 | 0361-0926 |
DOI | 10.1080/03610926.2012.665555 |
英文摘要 | Reduced-form credit risk models are widely used in pricing and hedging credit derivatives. Generating default dependency is the key element in any such model. In this article, we use Markov copulae approach to model the dependence structure of defaults between the three obligors, one is the reference entity, another is the protection seller, the other is the protection buyer(the investor), so we can consider the bilateral counterparty risk of credit default swaps(CDS). In this Markov chain copula model, we obtain the explicit formulas of the CDS premium rates C-1(T) (with unilateral counterparty risk) and C-2(T) (with bilateral counterparty risk). And then we perform some numerical experiments to analyze the difference of the fair spreads between the unilateral case and the bilateral case. |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | TAYLOR & FRANCIS INC |
WOS记录号 | WOS:000329777200004 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/1813] |
专题 | 上海财经大学 |
通讯作者 | Liang, Xue |
作者单位 | 1.Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China |
推荐引用方式 GB/T 7714 | Liang, Xue,Dong, Yinghui. A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2014,43(3):498-514. |
APA | Liang, Xue,&Dong, Yinghui.(2014).A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,43(3),498-514. |
MLA | Liang, Xue,et al."A Markov Chain Copula Model for Credit Default Swaps with Bilateral Counterparty Risk".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 43.3(2014):498-514. |
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