有散粒噪声的机制转换的马尔科夫copula模型下的有担保安排的CDS的风险分析  

Risk Analysis of Collateralized CDS under Markov Copula Model with Regime Switching and Shot Noise

作　　者：梁雪[1] 董迎辉[1] 陈洋[1] 

机构地区：[1]苏州科技大学数理学院数学系,苏州215009

出　　处：《应用概率统计》2017年第4期385-407,共23页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金青年项目(批准号:11401419);江苏省自然科学基金青年项目(批准号:BK20140279);江苏省青蓝工程项目(批准号:);苏州科技大学自然基金面上项目(批准号:);浙江工商大学博士后科研项目(批准号:)资助

摘　　要：信用估值调整是针对交易对手方可能出现的违约责任而对金融产品价格作出调整的计算,是度量交易对手违约风险的重要方式.在信用估值调整的计算中,违约相关风险模型的建立非常关键.我们在马尔科夫copula模型中引入共同的经济状态变量以及散粒噪声过程,建立了带有散粒噪声的机制转换的马尔科夫copula模型,该模型不仅可以刻画经济环境对违约的影响,而且可以反映在同一种经济环境中信用个体的违约变化.我们研究了此模型的鞅性质,在此模型下,我们进一步研究了有抵押担保的信用违约互换的CVA的刻画,并做了数值计算,分析了模型参数对CVA的影响.Credit valuation adjustment is the price adjustment of financial contract considering possibledefault of counterparty and it is an important way to measure counterparty risk. It is the key to establish a reasonable default dependence structure model. We introduce an economic state variable and shot noise processes in a Markov copula model and establish a regime switching Markov copula model with shot noise, where we can not only describe the impact of common economic conditions characteristics but also describe the credit name＇s characteristic. In this proposed model, we study martingale property of the model and the collateralized CVA of credit default swaps, and furthermore, we perfer some numerical calculations on the collateralized CVA and examine the impact of some model parameters on the CVA.

关 键 词：抵押担保 违约相关性 散粒噪声 对手信用风险 马尔可夫copula模型 

分 类 号：O211.6[理学—概率论与数理统计]