Estimating intensity processes from Credit Default Swaps

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沈志泰(Chih-tai Shen) 查詢紙本館藏

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統計研究所

論文名稱

(Estimating intensity processes from Credit Default Swaps)

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摘要(中)

本文探討信用抵押交換 (Credit default swap) 的定價方法,當資產發生違約的時候信用抵押交換的賣方會補償買方的損失,而買方也必須付出週期性的付款已換取對等的補償。在經過2008年金融海嘯之後,定價正確與有效率的定價信用型衍生性金融商品已是重要且具挑戰性的議題。
首先我們以蒙地卡羅模擬方法去定價信用抵押交換,以離散型型式去定義
固定付款 (Fixed payment) 與突發性補償付款 (contingent payment)。在建模違約時間方面使用的是 stochastic intensity process。合理的信用違約價格為兩個付款的期望值所求解的值。本文探討的 intensity process 分別為 Cox-Ingersoll-Ross 模型、basic affine jump diffusion
模型和 regime switching 模型。最後我們也考慮存在交易對手 (counterparty) 違約的模型。
在實證分析方面,我們考慮在芝加哥交易所交易的歐洲主權債卷信用抵押交換合約來進行分析,其研究區間為2008年4月至2010年12月。我們發現 Cox-Ingersoll-Ross 模型為相對較佳之模型。

摘要(英)

In this thesis, we study the pricing mechanism for the credit default swap (CDS). A CDS is a financial swap contract that the seller of the CDS will compensate the buyer when a predesignate default event occurs. The buyer of the CDS makes a series of periodic payments to the seller, and receives a payoff if a default event occurs. After the 2008 global credit crisis, pricing credit derivatives such as a CDS correctly and efficiently has been an important and challenging issue.
To start with a Monte Carlo simulation for valuing the CDS, we define the fixed payment and contingent payment as functions of the time to default of the reference entity. The time to default is modelled via a stochastic intensity process. Thus, the fair CDS price is the value so that the expectation of the contingent payment equals the expectation of the fixed payment. Three intensity processes, including the Cox-Ingersoll-Ross model, a basic affine jump diffusion model, and a regime switching model, are studied in this thesis. We also consider the case when counterparty default risk exists in the market.
In our empirical analysis, we retrieve real CDS contracts of sovereign CDS traded on Chicago Mercantile Exchange
with a study period from April 2008 to September 2010. Our empirical analysis suggests that the CIR model is a relatively suitable model.

關鍵字(中)

關鍵字(英)

★ Credit default swap
★ Cox-Ingersoll-Ross model
★ jump diffusion model
★ regime switching model
★ calibration

論文目次

摘要 i
Abstract ii
誌謝 iv
List of Figures ix
List of Tables xv
Chapter 1 Introduction 1
Chapter 2 Literature review 4
Chapter 3 Preliminaries 12
chapter 4 Simulation studies 27
Chapter 5 Numerical results 42
Chapter 6 Conclusion and Future works 84
Reference 86

參考文獻

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指導教授

鄧惠文(Huei-wen Teng)

審核日期

2013-6-28

推文