| 基于Credit Metrics模型的CDS定价研究 |
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| 引用本文： | 李玉强,张能福.基于Credit Metrics模型的CDS定价研究[J].科技创业月刊,2011,24(12):37-40. |
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| 作者姓名： | 李玉强 张能福 |
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| 作者单位： | 五邑大学经济管理学院,广东江门,529020 |
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| 基金项目： | 广东省自然科学基金项目研究成果(项目编号:8152902001000010) |
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| 摘 要： | 信用违约互换(Credit Default Swaps,CDS)作为当今国际上最流行的的信用衍生工具,被广泛应用于商业银行的信用风险管理中。Credit Metrics模型被广泛运用于度量信用风险的大小,在应用Credit Metrics模型计算商业银行贷款的VaR基础上探讨CDS的定价问题。以单笔贷款为例来说明该模型探讨CDS定价实际运用过程,对我国商业银行信用风险管理的提高有一定指导作用。
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| 关 键 词： | 信用风险 Credit Metrics模型 VaR CDS |
Pricing of Credit Default Swaps Based on Credit Metrics Model |
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| Li Yuqiang Zhang Nengfu.Pricing of Credit Default Swaps Based on Credit Metrics Model[J].Pioneering With Science & Technology Monthly,2011,24(12):37-40. |
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| Authors: | Li Yuqiang Zhang Nengfu |
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| Institution: | Li Yuqiang Zhang Nengfu |
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| Abstract: | CDS as the most popular international credit derivatives,is widely used in commercial bank credit risk management.Credit Metrics model has been widely used in measuring the size of the credit risk in application,this will calculate the VaR of commercial bank loans and discuss the CDS pricing issues.In this paper,a single loan as an example illustrates the model discuss CDS pricing practical application process,which may provide certain guidances for the improvement of our credit risk management. |
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| Keywords: | credit risk credit metrics model VaR CDS |
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