Hits:

Indexed by:期刊论文

Date of Publication:2022-06-29

Journal:系统工程理论与实践

Issue:6

Page Number:993-1003

ISSN No.:1000-6788

Abstract:This paper suggests a time-varying Markov chain model with weighted common and rating specific factors as diffusion-like behavior in affine term structure framwork, which is applicable to pricing of swaption with counterparty risk. Based on monthly yield data of US Treasury for the period of Jan 1998 to Dec 2008 and Moody's rating data, Kalman filter and constrained nonlinear least square are used to estimate the models. The main results of this paper are: First, the model with common and rating specific factors as diffusion-like process is introduced. Second, the valuation model of swaption with counterparty risk is studied and the closed form solution is also obtained. Finally, we show that the impact of credit standing of counterparty on the price of swaption.

Note:新增回溯数据