英文标题：
《Modelling Credit Default Swaps: Market-Standard Vs Incomplete-Market
Models》
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作者：
Michael B. Walker
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最新提交年份：
2014
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英文摘要：
Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of the new incomplete-market model to further study CDS hedging and extends the model so that it is capable treating single-name CDS portfolios. Also, a hedge called the vanilla hedge is described, and with it, analytic results are obtained explaining the striking features of the plot of no-arbitrage bounds versus CDS maturity for illiquid CDSs. The valuation process that follows from the incomplete-market model is an integrated modelling and risk management procedure, that first uses the model to find the arbitrage-free range of fair prices, and then requires risk management professionals for both the buyer and the seller to find, as a basis for negotiation, prices that both respect the range of fair prices determined by the model, and also benefit their firms. Finally, in a section on numerical results, the striking behavior of the no-arbitrage bounds as a function of CDS maturity is illustrated, and several examples describe the reduction in risk by the hedging of single-name CDS portfolios.
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中文摘要：
最近，不完全市场技术被用于开发适用于信用违约掉期（CDS）的模型，其结果与使用市场标准模型获得的结果截然不同。本文利用新的不完全市场模型进一步研究CDS套期保值，并对模型进行了扩展，使其能够处理单名CDS投资组合。此外，还描述了一种称为香草对冲的对冲，并用它得到了分析结果，解释了非流动性CDS的无套利界限与CDS到期日的显著特征。不完全市场模型的估值过程是一个综合建模和风险管理程序，首先使用该模型找到公平价格的无套利范围，然后要求风险管理专业人员为买方和卖方找到符合该模型确定的公平价格范围的价格，作为谈判的基础，也有利于他们的公司。最后，在关于数值结果的一节中，阐述了无套利界限作为CDS到期日函数的显著行为，并通过几个例子描述了通过对冲单名CDS投资组合来降低风险。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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