信用衍生产品定价理论概述

信用衍生品作为现代金融市场中重要的转移,对冲信用风险的工具,在近期的金融危机中扮演了重要的角色。如何有效地对这些信用衍生品进行有效的定价成为国内外学者研究这次金融危机起因和它对日后金融市场的启示的重要切入点。通过信息完全性方面不同的视角系统的梳理和回顾了近几十年来的主流信用衍生品定价理论,并对未来该理论的发展趋势进行评述与总结。

The Overview of Studies on Pricing Credit Derivatives

As the most important tool to manage or hedge the credit risk in the modern financial market, credit derivatives had played the key role in the recent financial crisis. How to price the credit derivatives effectively and precisely is concerned by many scholars when they are trying to research how the financial crisis break out or how to deal with it. This paper had looked back the theory for pricing credit derivatives with different aspects, and we also try to forecast how the theory will develop in the fut...