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文章基本信息

  • 标题:Pricing for Basket CDS and LCDS
  • 本地全文:下载
  • 作者:Tao Wang ; Jin Liang ; Xiaoli Yang
  • 期刊名称:Modern Economy
  • 印刷版ISSN:2152-7245
  • 电子版ISSN:2152-7261
  • 出版年度:2012
  • 卷号:3
  • 期号:2
  • 页码:171-178
  • DOI:10.4236/me.2012.32024
  • 出版社:Scientific Research Publishing
  • 摘要:In this paper, under the reduced form framework and “Bottom Up” method, a model for pricing a basket Loan-only Credit Default Swap (LCDS), with the negative correlation between prepayment and default, is established. A general pricing formula for it is obtained, where one factor CIR (Cox-Ingersoll-Ross) and ICIR (Inversed CIR) models are used to describe the negative correlation between prepayment and default. In this situation, the positivity of prepayment and default intensity processes are guaranteed. Numerical computations are presented.
  • 关键词:Basket Loan-Only Credit Default Swap; Prepayment Risk; Bottom Up; Reduced Form; One Factor ICIR Model
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