A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives

被引：8

作者：

Liang, Xue ^{[1
,2
]}

Wang, Guojing ^{[1
]}

Dong, Yinghui ^{[2
]}

机构：

[1] Soochow Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China

[2] Suzhou Univ Sci & Technol, Dept Math, Suzhou 215009, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 01期

关键词：

Thinning-dependence structure; Regime switching; Jump-diffusion model; Joint conditional survival probability; Portfolio credit derivatives; INTENSITY;

D O I：

10.1016/j.spl.2012.10.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The class of reduced form models is a very important class of credit risk models, and the modeling of the default dependence structure is essential in the reduced form models. This paper proposes a thinning-dependent structure model in the reduced form framework. The intensity process is the jump-diffusion version of the Vasicek model with the coefficients allowed to switch in different regimes. This article will investigate the joint (conditional) survival probability and the pricing formulas of portfolio credit derivatives. The exact analytical expressions are provided. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：373 / 381

页数：9

共 18 条

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