A Markov Copula Model with Regime Switching and Its Application  

作　　者：Xue LIANG 

机构地区：[1]School of Statistics and Management,Shanghai University of Finance and Economics [2]Department of Economics,University of Melbourne [3]Institute of Mathematics and Physics,Suzhou University of Science and Technology

出　　处：《Acta Mathematicae Applicatae Sinica》2016年第1期163-174,共12页应用数学学报（英文版）

基　　金：Supported by Jiangsu Government Scholarship for Overseas Studies;the NNSF of China(Grant Nos.11401419,11301369,11371274);the CPSF(2014M561453);the NSF of Jiangsu Province(Grant Nos.BK20140279,BK20130260)

摘　　要：Regime switching,which is described by a Markov chain,is introduced in a Markov copula model.We prove that the marginals（X,H^i）,i = 1,2,3 of the Markov copula model（X,H） are still Markov processes and have martingale property.In this proposed model,a pricing formula of credit default swap（CDS） with bilateral counterparty risk is derived.Regime switching,which is described by a Markov chain,is introduced in a Markov copula model.We prove that the marginals（X,H^i）,i = 1,2,3 of the Markov copula model（X,H） are still Markov processes and have martingale property.In this proposed model,a pricing formula of credit default swap（CDS） with bilateral counterparty risk is derived.

关 键 词：Markov copula model regime switching Markov chain credit default swap bilateral counterparty risk 

分 类 号：O211.62[理学—概率论与数理统计]