확률 상관계수 모형을 이용한 바스켓 CDS의 가치 결정
- 주제(키워드) Stochastic correlation
- 발행기관 아주대학교
- 지도교수 배형옥
- 발행년도 2016
- 학위수여년월 2016. 8
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000023250
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
There exists correlation between assets. In most of the models, people assume that the correlation is deterministic. However, correlation varies in response to the market conditions. Therefore, in this paper, we proposes a correlation model with stochastic process. Also, the jump diffusion process which includes asset correlation has been adjusted in this model. In this paper, we attempt to show the probability of $n$th-to-default within multiple assets and basket credit default swaps spread by using the stochastic correlation model.
more목차
1 Introduction
2 Reduce form model
2.1 Hazard rate
2.2 Copula function
2.2.1 Simulation method
2.3 Factor model
3 Structural model
3.1 Merton model
3.1.1 Probability of default
3.1.2. Recovery rate
3.1.3 Monte Carlo simulation of Brownian Motions
3.2 Merton model with jump diffusion process
3.2.1 Monte Carlo simulation of jump process
4 Stochastic correlation
4.1 Models for stochastic corrlation
4.2 Jump diffusion process with stochastic correlation
5 Basket credit default swaps
5.1 Valuation method for credit default swaps
5.2 Result value
6 Conclusion
References
