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页数:19页
时间:2019-06-19
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1、FixedIncomeQuantitativeCreditResearchApril2003ValuationofCreditDefaultSwapsDominicO’KaneandStuartTurnbullMarkingdefaultswappositionstomarketrequiresamodel.Wepresentanddiscussthemodelmostwidelyusedinthemarket.LehmanBrothers
2、QuantitativeCreditResearchApril2003ValuationofCreditDefau
3、ltSwapsDominicO’KaneWepresentthemarketstandardpricingmodelformarkingcreditdefaultswap+44(0)2072602628positionstomarket.Ouraimisfirsttoexplainwhycreditdefaultswapsrequireadokane@lehman.comvaluationmodel,andthentoexplainthestandardmodel–theonemostwidelyusedinthemarket.Intheprocesso
4、fsettingoutthemodel,wetakecaretoexplainandStuartTurnbulljustifythevariousmodelingassumptionsmade.Wealsoprovideexamples.+12125269251sturnbul@lehman.com1INTRODUCTION1Thecreditdefaultswapisasimplederivativecontractthathasrevolutionizedthetradingofcreditrisk.Overthepastfiveyearsithas
5、becomethemostwidelyusedcreditderivativeproduct,representingabout72.5%ofatotaloutstandingmarketnotionalcurrentlyestimated2tobearound$2.3trillion.Thedefaultswapmarketistrulyglobal,withcontractslinkedtothecreditriskofawidearrayofUS,EuropeanandAsiancorporatenamesaswellastoanumberofso
6、vereigns.Thepointofthispaperistopresentacompleteandpracticalexpositionofthemarketstandardmodelandsohelpthosenewtocreditderivativestobeabletovaluedefaultswappositions.Weintendtopublishamorecompletestudyofthevaluationandriskmanagementofcreditdefaultswapsshortlyandwereferthereaderto
7、thatformanyofthetechnicaldetailsomittedfromthisabridgedpaper.2THECREDITDEFAULTSWAP3Creditdefaultswaps(CDS)havebeenexplainedindetailelsewhere.Inbrief,aCDSisusedtotransferthecreditriskofareferenceentity(corporateorsovereign)fromonepartytoanother.InastandardCDScontractonepartypurcha
8、sescreditprotectionfromanotherparty,tocoverthelossofthefacevalueofanassetfollowingacreditevent.Acrediteventisalegallydefinedeventthattypicallyincludesbankruptcy,failure-to-payandrestructuring.Thisprotectionlastsuntilsomespecifiedmaturitydate.Topayforthisprotection,theprotection4b
9、uyermakesaregularstreamofpayments,knowna
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