Pricing Extreme Mortality Bonds with Default Risk

摘要：

　　The paper applies tranche techniques to price the extreme mortality bonds, and build a pricing model with default risk;further conduct two extreme mortality bonds pricing models with and without default by considering the contagion characteristic of default risks.Compared with the existing pricing models, our pricing model to extreme mortality tranche bonds with default risk is more in line with the objective reality of financial markets and diversified needs of investors.

关键词： extreme mortality bonds tranche techniques default risk

作者: SHANG Qin LI Longxin

作者单位: Faculty of Management and Economics, Dalian University of Technology, Dalian, China, 116024

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 234-239

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）