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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.19 No.1
- 발행연도
- 2015.3
- 수록면
- 23 - 45 (23page)
이용수
초록· 키워드
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We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors’ default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copuladependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.
목차
ABSTRACT
1. INTRODUCTION
2. MODEL SETUP AND THEORETICAL RESULTS
3. APPLICATIONS
4. CONCLUSION
REFERENCES
참고문헌 (37)
참고문헌 신청
1. [단행본] - P. Br´emaud / 1981 / Point Processes and Queues: Martingale Dynamics / Springer-Verlag
2. [학술지(정기간행물)] - D. Brigo / 2010 / An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model / Mathematical Finance 20 (3) : 365 ~ 382
3. [학술지(정기간행물)] - D.R. Cox / 1955 / Some statistical methods connected with series of events / J. R. Stat. Soc. B 17 : 129 ~ 164
4. [학술지(정기간행물)] - J. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53 (2) : 385 ~ 407
5. [학술지(정기간행물)] - A. R. Das / 2002 / The surprise element: Jumps in interest rates / Journal of Econometrics 106 : 27 ~ 65
2. [학술지(정기간행물)] - D. Brigo / 2010 / An exact formula for default swaptions’ pricing in the SSRJD stochastic intensity model / Mathematical Finance 20 (3) : 365 ~ 382
3. [학술지(정기간행물)] - D.R. Cox / 1955 / Some statistical methods connected with series of events / J. R. Stat. Soc. B 17 : 129 ~ 164
4. [학술지(정기간행물)] - J. Cox / 1985 / A theory of the term structure of interest rates / Econometrica 53 (2) : 385 ~ 407
5. [학술지(정기간행물)] - A. R. Das / 2002 / The surprise element: Jumps in interest rates / Journal of Econometrics 106 : 27 ~ 65
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UCI(KEPA) : I410-ECN-0101-2016-410-001252707