文章基本信息

标题：Pricing and Modeling Credit Derivatives
本地全文：下载
作者：Muzaffer Akat ; Caio Almeida ; George Papanicolau 等
期刊名称：BRE : Brazilian Review of Econometrics / Sociedade Brasileira de Econometria
印刷版ISSN：0101-7012
出版年度：2007
卷号：27
期号：1
页码：107-107–129
出版社：Rio de Janeiro
摘要：The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the dimension of credit risk should be explicitly taken into account by a quantitative model. In this paper, we describe a doubly stochastic model with the purpose of pricing and hedging derivatives on securities subject to default risk. The default event is modeled by the first jump of a counting process Nt, doubly stochastic with respect to the Brownian filtration which drives the uncertainty of the level of the underlying state process conditional on no-default event. By assuming a condition slightly stronger than no arbitrage, i.e., that there is no free lunch with vanishing risk (NFLVR) from Delbaen and Scharchermayer (1994), we provide all the possible equivalent martingale measures under this setting. In order to illustrate the method, two simple examples are presented: the pricing of defaultable stocks, and a framework to price multi-name credit derivatives such as basket defaults.
关键词：Intensity Models, Credit Derivatives, Counting Processes, No-Arbitrage Restrictions