基于copula函数族的信用违约互换组合定价模型  

Pricing Model of Basket Credit Default Swap Based on Copulas

作　　者：詹原瑞[1] 韩铁[1] 马珊珊[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《中国管理科学》2008年第1期1-6,共6页Chinese Journal of Management Science

摘　　要：copula函数的出现解决了相关性结构不易刻画的难题,也为构建多元联合分布函数提供了切实可行的方法。在分析了不同copula函数的特点基础上并结合信用风险模型,本文建立了信用违约互换组合(Basket CreditDefault Swap)定价模型,并且给出了具体的计算步骤。本文揭示了信用违约互换组合为解决我国当前商业银行的不良贷款和流动性过剩问题提供了一个有效机制,模拟验证的结果显示模型的可实现性。The development of copulas resolves the problem of description of correlation, and it is a real practicable method to construct multivariate probability distribution function. Based on the characteristic of copulas, this paper founds the pricing model of Basket Credit Default Swap, and creates the pricing framework. The worth of this paper is that it shows an operable way to solve the worrying problems of bad debts and the Surplus Liquidity. This paper also gives satisfactory simulation in order to show the effectiveness of the pricing framework.

关 键 词：信用违约互换组合 COPULA 信用风险组合定价 多元联合分布 

分 类 号：F830.9[经济管理—金融学]