A model for dependent default with hyperbolic attenuation effect and valuation of credit default swap

被引：0
|
作者：
Yun-fen Bai
Xin-hua Hu
Zhong-xing Ye
机构：
[1] Shanghai Jiaotong University,Department of Mathematics
[2] Shijiazhuang College,Department of Mathematics
[3] Peking University,Guanghua Institute of Management
[4] Postdoctoral workstation of ICBC,undefined
来源：
Applied Mathematics and Mechanics | 2007年 / 28卷
关键词：
dependent default; hyperbolic attenuation function; change of measure; credit default swap (CDS); F830; 62P05;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A hyperbolic function is introduced to reflect the attenuation effect of one firm’s default to its partner. If two firms are competitors (copartners), the default intensity of one firm will decrease (increase) abruptly when the other firm defaults. As time goes on, the impact will decrease gradually until extinct. In this model, the joint distribution and marginal distributions of default times are derived by employing the change of measure, and the fair swap premium of a credit default swap (CDS) can be valued.
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页码：1643 / 1649
页数：6
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