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由于组合类信用违约互换(BDS)的定价复杂性,目前没有统一的定价模型。基于风险中性定价原则,给出了mBDS公平保费的一个定价公式。应用Clayton Copula函数的来描述违约损失尾部相关的下尾特征,利用Kenclall秩相关系数τ来测度违约时间之间的非线性相关关系。在MC数值计算方面,应用重要性抽样技术来计算或有赔付的期望值E(Z_(pro)~(m))和定期支付的保费E(Z_(pre)~(m)),并进行了比较静态分析。另外数值分析结果表明,Copula函数的选择对估值具有显著影响,表明在衍生品的定价研究中要重视模型风险问题。
There is currently no uniform pricing model due to the pricing complexity of BCDs. Based on the principle of risk-neutral pricing, a pricing formula of mBDS fair premium is given. The Clayton Copula function is used to describe the lower tail correlation related to the tail loss default, and the Kenclall rank correlation coefficient τ is used to measure the nonlinear correlation between default time. In MC numerical calculation, the importance sampling technique is used to calculate the expected value E (Z - (pro) ~ (m)) and the regularly paid premium E (Z_ (pre) ~ (m) Static analysis. In addition, the numerical analysis shows that the choice of Copula function has a significant impact on the valuation, indicating that the model risk should be emphasized in the pricing of derivatives.