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    題名: Pricing for First-to-Default Credit Default Swap with Copula
    作者: 林智勇
    Lin,Chih Yung
    貢獻者: 謝淑貞
    Shieh,Shwu Jane
    林智勇
    Lin,Chih Yung
    關鍵詞: 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
    日期: 2005
    上傳時間: 2009-09-14 13:34:22 (UTC+8)
    摘要: 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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    經濟研究所
    93258015
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0932580151
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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