扭曲Copula函数在BDS定价及其敏感度分析中的应用  

Applications of Distorted Copula Functions to Valuation of BDS and Its Sensitivity Analysis

作　　者：陈正声[1] 秦学志[1] 王玥[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《系统管理学报》2010年第3期345-350,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70771018);教育部人文社会科学基金资助项目(05JA630005)

摘　　要：利用Monte Carlo模拟,首先揭示出扭曲Copula函数对尾部相关性的刻画要明显优于标准Gaussian Copula函数,进而将扭曲Copula函数应用于篮式信用违约互换(BDS)的定价模型中,并通过对折现支付函数关于含扰动因素的风险率的敏感度分析,考察了BDS的一种违约风险及其对冲依据。结果表明,扭曲Copula函数可作为BDS定价与风险对冲的有效工具之一。In this paper,by using Monte Carlo simulation,we found that it is better to use distorted Copula functions to characterize the tail dependence than that of standard Gaussian Copula functions;By using distorted copula functions to price BDS and carrying out the sensitivity analysis of discounted payoff function with respect to the hazard rate function with perturbation,we investigated the default risk and hedging strategy of the BDS.The results showed that the distorted copula functions could be served as one effective tool for pricing BDS and risk hedging.

关 键 词：扭曲函数 扭曲Copula函数 篮式信用违约互换 MONTE CARLO模拟 

分 类 号：F840[经济管理—保险]