英文标题：
《An Explicit Default Contagion Model and Its Application to Credit
Derivatives Pricing》
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作者：
Dianfa Chen, Jun Deng, Jianfen Feng, Bin Zou
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最新提交年份：
2018
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英文摘要：
We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic characterizations for the default process, and use them to derive pricing formulas in explicit forms for synthetic collateralized debt obligations (CDOs). Furthermore, we use market data to calibrate the model and conduct numerical studies on the tranche spreads of CDOs. We find evidence to support that systematic default risk coupled with default contagion could have the leading component of the total default risk.
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中文摘要：
我们提出了一个新的信用违约模型，该模型考虑了宏观经济信息的影响和传染效应对债务人违约的影响。我们使用集值马尔可夫链对违约过程进行建模，违约过程是组中所有违约债务人的集合。我们获得了违约过程的分析特征，并使用它们导出了合成债务抵押债券（CDO）的显式定价公式。此外，我们使用市场数据对模型进行了校准，并对CDO的部分利差进行了数值研究。我们发现有证据表明，系统性违约风险加上违约传染可能是总违约风险的主要组成部分。
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分类信息：

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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