苏州科技学院学报：自然科学版2011，Vol.28Issue(4)：32-36,5.
具有单边对手风险的信用违约互换的定价
Pricing of CDS with unilateral counterparty risk
摘要
Abstract
Credit derivatives are important devices to disperse,transfer and hedge credit risk,are widely used by financial enterprises.The ignored counterparty risk after 2008 financial crisis is revalued.This paper studies the pricing of credit default swap（CDS）,one important credit derivative,in a reduced form model,and obtains an analytical expression of the CDS premium rate with unilateral counterparty risk.A numerical example is also given.关键词
约化模型/信用违约互换/对手信用风险/互换率Key words
reduced form model/credit default swaps（CDS）/counterparty risk/premium rate分类
数理科学引用本文复制引用
梁雪..具有单边对手风险的信用违约互换的定价[J].苏州科技学院学报：自然科学版,2011,28(4):32-36,5.基金项目
江苏省高校自然科学基金资助项目 （）
