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论文类型：会议论文

发表时间：2012-01-01

收录刊物：CPCI-SSH

页面范围：14-+

关键字：credit default; swap pricing; modified KMV model; binary tree pricing model

摘要：In the 1990's, the credit default swap (CDS) has developed gradually as a main kind of credit derivatives and been broadly used in the management of credit risk in foreign countries. It contributes to keep the stability of capital market and also meets the strong demand of modern risk management and reformation of financial market. However, there are only a few researches that applied to the environment of Chinese market among all researches in the field of CDS pricing. According to it, this paper introduces a modified KMV model which is based on the actual data of Chinese market, then, by means of binary tree option pricing model, presents an empirical research of CDS pricing in bond market of China.