Research on the Shift of Default Risk in Supply Chain Based on the Credit Default Swap

Abstract

Taking the retailerpsilas default in supply chain for example, in this paper, using the theory of credit default swap, the writer intends to make a research on the shift of default risk in supply chain. On the condition of insured interest rate and recovery rate, a supposition is made that the default rate of supply chain depends on the doubly stochastic Poisson default process, and then a model of credit default swap is established, and a simple pricing model of standard credit default swap and long-term credit default swap are discussed.