结构化模型下的贷款违约互换定价  

LCDS pricing under structural frameworks

作　　者：戎嫣耘[1,2] 杨晓丽[1] 梁进[1] 

机构地区：[1]同济大学数学系,上海200092 [2]中国农业银行上海分行,上海201315

出　　处：《高校应用数学学报（A辑）》2012年第2期146-156,共11页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家重点基础研究发展计划(973计划)(2007CB814903)

摘　　要：文中考虑贷款违约互换(LCDS)的定价模型.影响定价的两个主要因素早偿和违约分别用引入早偿强度和结构化方法来刻画.模型可转换为二维偏微分方程的定解问题,通过降维求其解给出了LCDS的保费的定价公式,并在此基础上给出数值算例.A pricing model for Loan-only Credit Default Swaps （LCDS） is established in this article. Prepayment and default which are two main factors to impact the price are modeled by intensity and structure models respectively. The models can be reduced to high dimension initial- boundary problems of partial differential equations. A pricing formula is obtained by solving these problems using reducing dimension technique. Some numerical results are presented.

关 键 词：贷款信用违约互换 早偿 违约 结构化模型 

分 类 号：F830.9[经济管理—金融学]