Ӧ�ø���ͳ�� 2012, 28(6) 655-664 DOI:      ISSN: 1001-4268 CN: 31-1256

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A Reduced Model with Thinning-Dependence Structure
Liang Xue,Wang Guojing
Center for Financial Engineering of Soochow University, Department of Mathematics, Suzhou University of Science and Technology
Abstract:

The class of reduced form models is
a very important class of credit risk models, and the modelling of
the default dependence structure is essential in the reduced form
models. This paper models dependent defaults under a
thinning-dependent structure in the reduced form framework. In our
tractable model, the joint survival probability for correlated
defaults can be derived, and hence the CDS premium rates (with or
without counterparty risk) are given in closed form. The numerical
result shows that the thinning-dependent structure is effective to
model the default dependence.

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