Pricing Credit Default Swap with Contagious Risk and Simulation

作     者：郝瑞丽 张金清 刘永辉 胡周红 

作者机构：Post-Doctoral Station of Applied Economics School of Economics Fudan University School of Statistics and Mathematics Shanghai Finance University School of Business Information Management Shanghai University of International Business and Economics Department of Applied Mathematics Shanghai University of Finance and Economics 

出 版 物：《Journal of Shanghai Jiaotong university(Science)》 (上海交通大学学报（英文版）)

年 卷 期：2016年第21卷第1期

页      面：57-62页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：the National Natural Science Foundation of China(No.11271259) the China Postdoctoral Science Foundation(No.2014M551297) the Innovation Program of Shanghai Municipal Education Commission(No.13YZ125) the Funding Scheme for Training Young Teachers in Shanghai Colleges(No.ZZshjr12010) 

主　　题：credit default swap(CDS) contagious risk Vasicek interest rate 

摘      要：This paper mainly studies the pricing of credit default swap(CDS) with the loan as the reference asset,and gives a model based on the obtained conclusions. In the contract of CDS, we consider that the default of the protection s seller is correlated with the stochastic interest rate following Vasicek model and the default state of the reference firm. We give the pricing formula of CDS and analyze the effect of the contagious risk between the counterparties on the pricing of CDS.