违约强度由Lévy从属过程驱动的约化信用风险模型及信用违约互换的定价  

The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes

作　　者：胡凤清[1] 王过京[1] 

机构地区：[1]苏州大学数学科学学院与金融工程研究中心,苏州215006

出　　处：《应用概率统计》2012年第3期263-269,共7页Chinese Journal of Applied Probability and Statistics

基　　金：教育部博士点基金(20093201110013);福建省教育厅基金(JA11208)资助

摘　　要：本文引入一个约化信用风险模型,其中违约强度定义为从属过程,即非负增Lévy过程.用概率方法得到了违约时间分布的解析表达式.利用该解析表达式,给出了该信用风险模型下的信用违约互换(Credit Default Swaps)的闭形式的定价公式.For a reduced form model of credit risk, we use Cox process whose intensity process is a subordinator process to define the default time of the company. company＇s default time. We also derive the fair price spread of the credit default swaps. We derive closed forms of the distribution of the of the defaultable zero coupon bond and the credit

关 键 词：从属过程 无穷小算子 零息票债券 信用违约互换. 

分 类 号：O211.6[理学—概率论与数理统计]