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| 信用违约风险传染模型的比较研究 | |
| 引用本文： | 王倩,王煦逸. 信用违约风险传染模型的比较研究[J]. 金融理论与实践, 2007, 0(11): 6-10 |
| 作者姓名： | 王倩 王煦逸 |
| 作者单位： | 同济大学中德学院,上海,200092;同济大学中德学院,上海,200092 |
| 摘 要： | 本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免. |
| 关 键 词： | 信用违约传染建模 相关性 信用违约传染 信用组合 |
| 文章编号： | 1003-4625（2007）11-0006-05 |
| 收稿时间： | 2007-09-01 |
| 修稿时间： | 2007-09-01 |
A Comparative Study of Credit Default Risk Contagion Models |
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| Wang Qian,Wang Xu-yi. A Comparative Study of Credit Default Risk Contagion Models[J]. Financial Theory and Practice, 2007, 0(11): 6-10 | |
| Authors: | Wang Qian Wang Xu-yi |
| Abstract: | This paper tries to conduct a comparative study of some representative models concerning credit default risk contagion, and analyzes the different results of credit option pricing and hedging brought about by the differences in the method of model setup. It is believed that the events like Delon Empire Collapse would have been avoided if default risk contagion had been taken into consideration. |
| Keywords: | credit default risk contagion model correlation credit default risk contagion credit makeup |
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