A Beginner's Guide to Credit Derivatives

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1、ABeginner'sGuidetoCreditDerivativesNoelVaillantDebtMarketExoticsNomuraInternationalNovember17,2001Contents1Introduction22TradingStrategiesandReplication42.1ContingentClaims..........................42.2StochasticProcesses.........................52.3TradableInstrumentsand

2、TradingStrategies...........72.4TheWealthProcess.........................82.5ReplicationandNon-ArbitragePricing...............113CreditContingentClaims143.1CollapsingNumeraire........................143.2DelayedRiskyZero..........................163.3CreditDefaultSwap.....

3、....................183.4RiskyFloatingPaymentandRelatedClaim............193.5ForeignCreditDefaultSwap....................213.6EquityOptionwithPossibleBankruptcy..............233.7RiskySwaptionandDelayedRiskySwaption...........253.8OTCTransactionwithPossibleDefault.........

4、.....29AAppendix32A.1SDEforCash-TradableAssetandoneNumeraire.........32A.2SDEforFutures-TradableAssetandoneNumeraire.......33A.3SDEforFundedAssetandoneNumeraire.............34A.4SDEforFundedAssetandoneCollapsingNumeraire.......34A.5SDEforCollapsingAssetandNumeraire........

5、.....36A.6ChangeofMeasureandNewSDEforRiskySwaption......37IamgreatlyindebtedtomycolleaguesEvanJonesandKevinSinclairfortheirvaluablecommentsandrecommendations.11IntroductionThisdocumentwillattempttodescribehowsimplecreditderivativescanbeformallyrepresented,showntobereplica

6、bleandultimatelypriced,usingrea-sonableassumptions.Itisabeginner'sguideonmorethanonecount:itssubjectmatterislimitedtothemostsimpletypesofclaims(thoseinvolvedincreditdefaultswaps,plusafewmore)anditstreatmentsodetailedthatmostbegin-nersshouldbeabletofollowit.Basicdenitionso

7、fgeneraloptionpricingarealsoincludedtoestablishacommonandconsistentterminology,andtoavoidanypossiblemisunderstanding.Itisalsoabeginner'sguideinthesensethatIammyselfacompletebeginneronthesubjectofcredit.Ihavenotradingexperienceofcreditdefaultswaps,andmymodelingbackgroundisl

8、imitedtothatofthedefault-freeworld.WhenIbecameacquaintedwiththeconceptofcreditdefaultswap