Pricing Extreme Mortality Bonds with Default Risk

被引：0
|
作者：
Shang Qin [1 ]
Li Longxin [1 ]
机构：
[1] Dalian Univ Technol, Fac Management & Econ, Dalian 116024, Peoples R China
来源：
PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT | 2017年
关键词：
extreme mortality bonds; tranche techniques; default risk; MODELS;
D O I：
暂无
中图分类号：
K9 [地理];
学科分类号：
0705 ;
摘要：
The paper applies tranche techniques to price the extreme mortality bonds, and build a pricing model with default risk; further conduct two extreme mortality bonds pricing models with and without default by considering the contagion characteristic of default risks. Compared with the existing pricing models, our pricing model to extreme mortality tranche bonds with default risk is more in line with the objective reality of financial markets and diversified needs of investors.
引用
收藏
页码：234 / 239
页数：6
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