双边违约金融衍生品定价与信用估值调整

Tim Xiao
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引用次数: 0

摘要

单边违约金融衍生品的估值问题已被广泛研究,但对具有非对称信用质量的双边衍生品的估值仍缺乏令人信服的机制。本文提出了一个对交易双方违约的衍生品进行估值的分析模型。无违约利率由市场模型建模,而违约时间由简化形式模型作为时间非齐次泊松过程的第一跳来建模。所有模型的数量都是市场可观察到的。封闭式解可以更好地理解信用不对称对掉期价值、信用价值调整、掉期利率和掉期价差的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are modeled by the Market Models, while the default time is modeled by the reduced-form model as the first jump of a time-inhomogeneous Poisson process. All quantities modeled are market-observable. The closed-form solution gives us a better understanding of the impact of the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread.
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