A Research on Credit Default Swap Pricing Based on the Modified KMV Model
In the 1990’s, the credit default swap (CDS) has developed gradually as a main kind of credit derivatives and been broadly used in the management of credit risk in foreign countries. It contributes to keep the stability of capital market and also meets the strong demand of modern risk management and reformation of financial market. However, there are only a few researches that applied to the environment of Chinese market among all researches in the field of CDS pricing. According to it, this paper introduces a modified KMV model which is based on the actual data of Chinese market, then, by means of binary tree option pricing model, presents an empirical research of CDS pricing in bond market of China.
credit default swap pricing modified KMV model binary tree pricing model
XU Jiemin SHAO Peng LIU Yanping
School of Mathematics and Science, Dalian University of Technology, Dalian, China, 116024 Faculty of Management and Economics, Dalian University of Technology, Dalian, China, 116024
国际会议
大连
英文
14-19
2012-07-07（万方平台首次上网日期，不代表论文的发表时间）