信用违约互换评估的精确结构模型:理论与实证

Ren‐Raw Chen, Pei-lin Hsieh
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引用次数: 0

摘要

为信用违约互换(cds)使用结构性模型一直很困难。现有的模型都采用捷径作为近似值。本文提出了一种准确、高效的信用违约互换价格求解方法。主要结果是第2节中的一个定理。在一项实证研究中,我们展示了我们的模型如何能够适当地捕捉利率波动和资产波动对信用违约掉期的影响。进一步,我们运用新模型研究了:(1)市场风险、信用风险和利率风险之间的相互作用;(2)与简化型信用风险模型的一致性;(3)资本结构套利的启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An Exact Structural Model for Evaluating Credit Default Swaps: Theory and Empirical Evidence
Using structural models for credit default swaps has been difficult. Existing models all adopt shortcuts as approximations. In this article, we provide an accurate and efficient solution to the price of the credit default swap. The main result is a Theorem in section 2. In an empirical study, we show how our model can properly capture credit default swap exposure to interest rate volatility and asset volatility. Furthermore, we apply the new model to study (1) the interactions among market, credit, and interest risks; (2) the consistency with the reduced-form credit risk models; and (3) implications to capital structure arbitrage.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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