违约强度由L'evy从属过程驱动的约化信用风险模型及信用违约互换的定价

The Fair Pricing of the Credit Default Swaps in a Intensity-Based Model Driven by Subordinator Processes

摘要: 本文引入一个约化信用风险模型, 其中违约强度定义为从属过程, 即非负增L'evy过程. 用概率方法得到了违约时间分布的解析表达式. 利用该解析表达式, 给出了该信用风险模型下的信用违约互换(Credit Default Swaps)的闭形式的定价公式.

Abstract: For a reduced form model of credit risk, we use Cox process whose intensity process is a subordinator process to define the default time of the company. We derive closed forms of the distribution of the company's default time. We also derive the fair price of the defaultable zero coupon bond and the credit spread of the credit default swaps.