| 对数Gauss衰减的信用风险传染模型与CDO定价研究 |
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| 引用本文： | 张苏江,陈庭强.对数Gauss衰减的信用风险传染模型与CDO定价研究[J].北京理工大学学报(社会科学版),2014,16(3):83-88. |
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| 作者姓名： | 张苏江 陈庭强 |
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| 作者单位： | 1.南京大学 工程管理学院, 南京 210093 |
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| 基金项目： | 国家自然科学基金重点项目（70932003） |
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| 摘 要： | 现有违约传染模型无法描述现实金融市场中一方的信用违约对另一方信用违约强度影响随时间推移的跳跃衰减特征。为此，将对数高斯（Gauss）衰减函数引入到信用违约强度模型中，建立具有双向性或环形特征的两个公司间信用风险传染的对数高斯（Gauss）衰减模型，研究该模型下两个公司的生存函数及其担保债务权证（CDO）分券层的定价。通过仿真和数值算例发现，在对数高斯衰减信用风险传染模型下信用违约方的信用违约时间及其对另一方的冲击强度、违约影响的衰减速率对担保债务权证（CDO）分券层价格具有显著的正相关关系。
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| 关 键 词： | 信用风险传染模型 信用违约 对数高斯衰减函数 债务抵押债券定价 |
| 收稿时间： | 3/5/2013 12:00:00 AM |
Credit Risk Contagion Model Based on Logarithmic Gauss Distribution and CDO Pricing |
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| ZHANG Sujiang and CHEN Tingqiang.Credit Risk Contagion Model Based on Logarithmic Gauss Distribution and CDO Pricing[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2014,16(3):83-88. |
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| Authors: | ZHANG Sujiang and CHEN Tingqiang |
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| Institution: | 1.School of Management and Engineering, Nanjing University, Nanjing 210093, China2.School of Economics and Management, Nanjing Tech University, Nanjing 211816, China |
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| Abstract: | Existing default contagion model cannot describe the leap attenuation features of the effects of credit default of one company on another company with time lapse. Thus the logarithmic Gauss decay function is introduced into the intensity model of credit default, and logarithmic Gauss attenuation model of credit risk contagion is constructed that contain a biphasic or ring features between two companies. The survival function of two companies and the pricing of CDO are investigated under this model. Numerical examples show significant positive correlation that relevant parameters in the credit risk contagion model for CDO prices. |
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| Keywords: | credit risk contagion model credit default logarithmic Gauss attenuation function collateralized debt obligation pricing |
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