椭圆和阿基米德联结模型:在组合信用衍生品价格估计中的应用

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2019-11-24 DOI:10.21314/jcr.2020.263

Matthias Ehrhardt, Nneka Umeorah, Phillip Mashele

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引用次数: 2

摘要

本文探讨了椭圆模型和阿基米德copula模型对一篮子违约掉期估值的影响。我们采用蒙特卡罗模拟，结合copula模型来估计违约时间，并计算掉期支付支点和累积掉期溢价。数值实验揭示了互换参数对𝑛th-to-default掉期公平价格影响的敏感性分析。最后，利用本文的研究结果，可以根据估值过程的计算时间来选择合适的copula模型，这种选择对投资组合的定量风险分析有很大的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Elliptical and Archimedean Copula Models: An Application to the Price Estimation of Portfolio Credit Derivatives

This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps. We employ Monte Carlo simulation, in connection with the copula models, to estimate the default times and to calculate the swap payment legs and the cumulative swap premium. The numerical experiments reveal some sensitivity analysis on the impact of swap parameters on the fair prices of the 𝑛th-to-default swaps. Finally, using the results presented, an appropriate choice of copula model can be made based on the computation time of the valuation process, and such a choice hugely affects the quantitative risk analysis of the portfolio.

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来源期刊

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.