违约过程建模与信用评估调整

David Xiao
{"title":"违约过程建模与信用评估调整","authors":"David Xiao","doi":"arxiv-2309.03311","DOIUrl":null,"url":null,"abstract":"This paper presents a convenient framework for modeling default process and\npricing derivative securities involving credit risk. The framework provides an\nintegrated view of credit valuation adjustment by linking distance-to-default,\ndefault probability, survival probability, and default correlation together. We\nshow that risky valuation is Martingale in our model. The framework reduces the\ntechnical issues of performing risky valuation to the same issues faced when\nperforming the ordinary valuation. The numerical results show that the model\nprediction is consistent with the historical observations.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Default Process Modeling and Credit Valuation Adjustment\",\"authors\":\"David Xiao\",\"doi\":\"arxiv-2309.03311\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a convenient framework for modeling default process and\\npricing derivative securities involving credit risk. The framework provides an\\nintegrated view of credit valuation adjustment by linking distance-to-default,\\ndefault probability, survival probability, and default correlation together. We\\nshow that risky valuation is Martingale in our model. The framework reduces the\\ntechnical issues of performing risky valuation to the same issues faced when\\nperforming the ordinary valuation. The numerical results show that the model\\nprediction is consistent with the historical observations.\",\"PeriodicalId\":501355,\"journal\":{\"name\":\"arXiv - QuantFin - Pricing of Securities\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Pricing of Securities\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2309.03311\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2309.03311","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

本文提出了一个方便的框架来建模违约过程和定价涉及信用风险的衍生证券。该框架通过将违约距离、违约概率、生存概率和违约相关性联系在一起,提供了信用估值调整的综合视图。在我们的模型中,风险估值是鞅。该框架将执行风险估值的技术问题简化为执行普通估值时面临的相同问题。数值结果表明,模式预测结果与历史观测结果基本一致。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Default Process Modeling and Credit Valuation Adjustment
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default, default probability, survival probability, and default correlation together. We show that risky valuation is Martingale in our model. The framework reduces the technical issues of performing risky valuation to the same issues faced when performing the ordinary valuation. The numerical results show that the model prediction is consistent with the historical observations.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信