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Date of Publication:2017-01-01

Journal:系统管理学报

Issue:3

Page Number:512-517

ISSN No.:1005-2542

Abstract:The counterparty default correlation risk in 2008 financial crisis not only made the Lehman Brothers bankrupt,and Bear Sterns and AIG nearly bankrupt,but also increased the systemic risk of the financial market.Based on one-factor Gaussian Copula model and simulation analysis,the effect of default correlation under three scenarios for CDS pricing is analyzed.The effect of default intensity,default correlation and recovery rate is studied as factors on CDS pricing with respect to protection seller,protection buyer and reference entity.The main findings are:(1) CDS prices are significantly different under three scenarios;(2) the effect of the default risk from different counterparty on CDS price is different under each scenario;(3) the effect of the recovery rate of reference entity on CDS price is significantly different under each scenario.

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