Valuation of credit default swap;
信用违约互换的定价方法
A Study on Pricing Model of Credit Default Swap Based on Jump-Diffusion Process;
基于跳-扩散过程的信用违约互换定价模型
Valuation of basket credit default swaps by partial differential equation method;
一篮子信用违约互换定价的偏微分方程方法
Credit Default Swaps Can Prevent the increment of Ill Assets in Commercial Banks;
用信用违约互换防范商业银行不良资产的增量
Based on the RMB market, this paper provides the design of single-name bond CDS (credit default swaps), taking credit bonds as the reference debt.
该文立足人民币市场,以信用类债券作为参考债务设计单一名字债券信用违约互换,并以Jarrow-Turnbull模型为基础,结合中国信用类债券市场现实情况提出具体假设,采用国债、央票、掉期等多种曲线分别作为无风险收益率曲线,测算AAA至A-各信用评级债券的CDS价格,在测算分析基础上提出基础债务、监管、法律、信用等关键问题的思考。
We introduce the closed-form solution model of joint survival time distribution to apply to the valuation of basket credit default swaps, credit default swap index an.
本文在约化法的框架下假设组合内公司违约强度过程符合单因子Vasicek模型,引入通过PDE方法得到的违约时间联合分布的封闭解模型,应用于一篮子信用违约互换、信用违约互换指数及担保债务契约等产品的定价,并结合计算结果进行分析。
A Study on Pricing Method of Basket Credit Default Swaps
信用违约互换组合定价方法研究
CDS:Opportunity for bond investors in China;
信用违约互换:中国债券投资者的机遇
The voluation of the credit default swap based on Cox process;
基于考克斯过程的信用违约互换定价
Liquidity Risk-Adjusted Credit Default Swap Pricing;
流动性风险调整的信用违约互换定价
An Analysis on Mechanism of Risk Hedge and Evaluation for Credit Default Swaps;
信用违约互换的避险机理及价值分析
Use Credit Default Swap Resolved Credit Concentration Risk;
使用信用违约互换产品化解信贷集中风险
Credit Default Swaps Can Prevent the increment of Ill Assets in Commercial Banks;
用信用违约互换防范商业银行不良资产的增量
Research on the Application of Credit Default Swaps in Chinese Corporate Bond Market
信用违约互换在我国公司债市场的应用研究
Valuation of basket credit default swaps by partial differential equation method;
一篮子信用违约互换定价的偏微分方程方法
Pricing Model of Basket Credit Default Swap Based on Copulas;
基于copula函数族的信用违约互换组合定价模型
The Research of the Short Term Price of a Credit Default Swap in a Jump Diffusion Model with Two-sided Exponentially Distributed Jump;
双指数跳扩散模型信用违约互换短期价格研究
A Study on Pricing Model of Credit Default Swap Based on Jump-Diffusion Process;
基于跳-扩散过程的信用违约互换定价模型
CDS contractual equation analysis and application in China;
信用违约互换的契约方程分析及其在中国的应用研究
Study on Optimal Contracts Model of Credit Default Swap Based on Principal-agent Theory;
基于委托代理理论的信用违约互换最优契约模型分析
The Game Analysis of Risky Trade of Credit Default Swap Under Asymmetric Information;
非对称信息下信用违约互换风险交易的博弈分析
The Research on the Application of Credit Default Swap in the Risk Management of Our Country s Commercial Bank;
信用违约互换在我国银行风险管理中的应用研究
Study on Bank Risk Control in Finance Warehousing Based on Credit Default Swap
基于信用违约互换的融通仓业务银行风险控制研究
Empirical Analysis Based on the Lead-lag Relationship between European Credit Default Swap Market and Stock Market
关于欧洲信用违约互换市场与股票市场领先滞后关系的实证分析
Defect of the Credit Default Swap Pricing Mechanism and Triggering of Financial Crisis
信用违约互换定价机制的缺陷与金融危机的产生