信用风险传染模型对债务抵押债权定价影响的比较研究  

A Comparative Study of the Influence of the Model of Credit Crisis Contagion Effect upon the Pricing of Obligatory Right in Liabilities Mortgage

作　　者：王倩[1] 

机构地区：[1]同济大学中德学院,上海200092

出　　处：《辽宁师范大学学报（社会科学版）》2009年第3期35-39,共5页Journal of Liaoning Normal University(Social Science Edition)

摘　　要：当前爆发的次贷危机是一种典型的信用违约传染的实例。到目前为止,专家学者尝试从不同角度为违约传染建模,但由于模型不同,产生违约时间的分布不同,直接影响了信用衍生品组合的定价。债务抵押债权(以下简称CDO)就成为次贷危机的主要导线。选择有代表性的三个违约传染模型:相关资产价值模型、信息驱使模型和强度违约模型,运用蒙特卡罗随机模拟的方式,比较由于模型选择的不同对信用衍生品组合定价的影响。Present outbreak of the subprime mortgage loan crisis is a typical case of credit default contagion. So far people try to model default contagion from different angles; however, different models and time distribution of the default directly affects the pricing of basket credit derivatives. CDO become the main cause of the subprime mortgage loan crisis. Selecting three representative contagion models, this thesis, using the method of Montcaro random simulation, points out that different choice of models will affect the pricing of basket credit derivatives by choosing three representative default contagion models： model of relevant capital value, model of information driven, model of intensity default.

关 键 词：信用衍生物定价 信用违约风险传染 次贷危机 

分 类 号：F830[经济管理—金融学]