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Title: | Pricing for First-to-Default Credit Default Swap with Copula |
Authors: | 林智勇 Lin,Chih Yung |
Contributors: | 謝淑貞 Shieh,Shwu Jane 林智勇 Lin,Chih Yung |
Keywords: | 首次違約 信用違約交換 關聯性結構 first-to-default (FtD) credit default swap (CDS) copula function |
Date: | 2005 |
Issue Date: | 2009-09-14 13:34:22 (UTC+8) |
Abstract: | The first-to-default Credit Default Swap (CDS) with multiple assets is priced when the default barrier is changing over time, which is contrast to the assumption in most of the structural-form models. The survival function of each asset follows the lognormal distribution and the interest rate is constant over time in this article. We define the joint survival function of these assets by employing the normal and Student-t copula functions to characterize the dependence among different default probability of each asset. In addition, we investigate the empirical evidences in the pricing of CDS with two or three companies by changing the values of parameters in the model. The more interesting results show that the joint default probability increases as these assets are more positive correlated. Consequently, the price of the first-to-default CDS is much higher. |
Reference: | Black, F. and J.Cox (1976) Valuing Corporate Securities: Some Effects of Bond Indenture Provisions, Journal of Finance 31: 351–367. Cherubini, U. , E. Luciano and W.Vecchiato (2004) Copula Methods in Finance, John Wiley & Sons,Ltd. Duffie, D. and K. Singleton (1999) Modeling Term Structures of Defaultable Bonds, Review of Financial Studies 12: 687––720. Finkelstein, V. , J.-P. Lardy, G. Pan, T. Ta and J. Tierney (2002) CreditGrades™ Technical Document. Hull, J. and A. White (2001) Valuing Credit Default Swaps II: Modeling Default Correlations, Journal of Derivatives 8(3): 12–21. Na, P. , A-R. Niu , and T. Joro (2004) A Simulation-Based First-to-Default (FtD) Credit Default Swap (CDS) Pricing Approach under Jump-Diffusion, Proceedings of the 2004 Winter Simulation Conference Nelsen, R.B. (1999). An introduction to copulas, Springer, New York. Jarrow, R. and S. Turnbull (1995) Pricing Derivatives on Financial Securities Subject to Credit Risk, The Journal of Finance 50: 53–85. Li, D.X. (2000). On default correlation: a copula function approach, Journal of Fixed Income,March, 43-54. Luciano, E. and M. Marena (2002) Copulae as a new tool in financial modelling,working paper. Merton, R. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 29: 449–470. |
Description: | 碩士 國立政治大學 經濟研究所 93258015 94 |
Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0932580151 |
Data Type: | thesis |
Appears in Collections: | [經濟學系] 學位論文
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