欢迎来到天天文库
浏览记录
ID:7291097
大小:556.61 KB
页数:26页
时间:2018-02-10
《paul wilmott on quantitative finance credit derivatives》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、CHAPTER41creditderivativesInthisChapter...•definitionsandusesofcreditderivatives•creditderivativestriggeredbydefault•derivativesoftheyieldspread•paymentonchangeofrating•examplesofcreditderivatives,includingtermsheets•pricingcreditderivativesusingdifferen
2、tmodels41.1INTRODUCTIONInthischapterIcontinuewiththethemeofpricingriskycontracts.Here‘risky’meansthatthereissomeexposuretodefaultrisk.Withcreditderivativesthatriskofdefaultisexplicitlyacknowledged,andinmanycasestheownerofthecreditderivativewillbenefitint
3、hecaseofdefault.Thusacreditderivativemaybethoughtofasinsuranceforanotherriskycontractsuchasasimplebond;theholderofabondalwayslosesoutondefault.Therearemanydifferenttypesofcreditderivativeandthebusinessiscurrentlygrowingveryrapidly.Iwillonlydiscussthemai
4、nissuesinthepricingofthesecontracts,givingexamplesasmuchasspacewillallow.41.2WHATARECREDITDERIVATIVES?Creditderivativesarecontractsthatinvolvecashflows/payoffsbetweentwopartiesthatarelinkedtothecreditcharacteristicsofsomethirdparty.Thepossibledefiningchar
5、acteristicsareasfollows:•Payoffstriggeredbydefaultevent;•Payoffslinkedtomark-to-marketreturnonspecificsecurity;•Payoffslinkedtoindependentcreditratingassessment.Acreditderivativewillalmostcertainlystillhavemarketrisk,thatis,theriskofmarketunderlyingmovin
6、gagainstyou.Buttheywillalsohavecreditrisk,theriskthatacounterpartywon’tpayup,orthatsomeone’snon-paymenttriggersapayoff,orthatsomeoneelse’sestimateofriskofdefaultchanges.676PartFourcreditriskFigure41.1Bondbecomescallableifacrediteventoccurs.Source:Bloomb
7、ergL.P.Figure41.1showsdetailsofabondthatbecomescallableifa‘creditevent’occurs.Inthisexamplecrediteventwasdefinedasoneormoreofthefollowing:•Afailuretomakepaymentswhendue;•Distressedreschedulingofpayment;•Aneventofbankruptcy,debtrestructuring.Creditderivat
8、ivescanofferprotectionagainstcreditrisks:•Defaultrisk;•Creditspreadrisk;•Downgraderisk.Creditderivativescanbeusedtogainanexposuretocreditrisks:•Enhanceyields;•Takeonparticularexposures.Creditderivativesofferawayto‘unbundle’credit
此文档下载收益归作者所有