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| 研究生： |
林智勇 Lin,Chih Yung |
|---|---|
| 論文名稱： |
Pricing for First-to-Default Credit Default Swap with Copula |
| 指導教授： |
謝淑貞
Shieh,Shwu Jane |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 畢業學年度： | 94 |
| 語文別： | 英文 |
| 論文頁數： | 53 |
| 中文關鍵詞： | 首次違約 、信用違約交換 、關聯性結構 |
| 外文關鍵詞： | first-to-default (FtD), credit default swap (CDS), copula function |
| 相關次數： | 點閱：75 下載：0 |
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The first-to-default Credit Default Swap (CDS) with multiple assets is priced when the default barrier is changing over time, which is contrast to the assumption in most of the structural-form models. The survival function of each asset follows the lognormal distribution and the interest rate is constant over time in this article. We define the joint survival function of these assets by employing the normal and Student-t copula functions to characterize the dependence among different default probability of each asset. In addition, we investigate the empirical evidences in the pricing of CDS with two or three companies by changing the values of parameters in the model. The more interesting results show that the joint default probability increases as these assets are more positive correlated. Consequently, the price of the first-to-default CDS is much higher.
Contents
1. Introduction 8
2. Related Literature 11
2.1 The theory of credit risks pricing 11
2.2 Copula functions 13
3. Methodology 14
3.1 Definition, basic properties about Copula 14
3.1.1 Definition of copula 14
3.1.2 The Sklar (1959) theorem 14
3.1.2 The Sklar (1959) theorem 15
3.1.3 Definitions of Gaussian copula and t-copula function 16
3.1.4 Solving survival function with Gaussian and t- copula function 18
3.2 Valuing Credit Default Swap with single firm 21
3.2.1 Firm’s assets 21
3.2.2 Recovery rate 21
3.2.3 Stopping time 22
3.2.4 Survival function 22
3.2.5 The pricing of Credit Default Swap (CDS) 23
3.3 Valuing Credit Default Swap with two firms 24
3.3.1 The joint survival function in Gaussian copula function 24
3.3.2 The pricing of Credit Default Swap in two firms 25
3.3.3 The pricing of Credit Default Swap in t-copula function 26
3.4 Valuing Credit Default Swap with three firms and n firms 27
3.4.1 The pricing of CDS in three firms with Gaussian and t-copula function 27
3.4.2 The pricing of CDS in n firms with Gaussian and t-copula function 28
4. Empirical and Simulation Results 29
4.1 Data 29
4.2 Empirical Results 32
4.2.1 The pricing of two firms in Gaussian copula and t-copula function 33
4.2.2 The pricing of three firms in Gaussian copula and t-copula function 35
4.3 Simulation Results 36
4.3.1 The effect and the Sensitivities to the model parameters 37
5. Conclusion 42
References 44
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