英文标题：
《Linear Credit Risk Models》
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作者：
Damien Ackerer and Damir Filipovi\\\'c
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最新提交年份：
2019
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英文摘要：
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by polynomials in the factors. Multi-name models can produce simultaneous defaults, generate positively as well as negatively correlated default intensities, and accommodate stochastic interest rates. A calibration study illustrates the versatility of these models by fitting CDS spread time series. A numerical analysis validates the efficiency of the option price approximation method.
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中文摘要：
我们引入了一类新的信用风险模型，其中企业生存过程的漂移是各因素的线性函数。可违约债券和信用违约掉期（CDS）的价格在因素上是线性理性的。CDS期权的价格可以用因子中的多项式统一近似。多名称模型可以同时产生违约，产生正相关和负相关的违约强度，并适应随机利率。校准研究通过拟合CDS扩散时间序列说明了这些模型的通用性。数值分析验证了期权价格近似方法的有效性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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