credit derivatives

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1、CHAPTER20CreditDerivativesJohnHullandAlanWhiteJosephL.RotmanSchoolofManagementUniversityofTorontoContents1.Introduction13632.Risk-NeutralDefaultProbabilityEstimates13642.1TheRisk-FreeRate13683.PhysicalDefaultProbabilityEstimates13693.1EmpiricalResearchonDefaultProbabili

2、tyEstimates13703.2EmpiricalResearchonCreditSpreads13734.CreditDefaultSwaps13764.1CreditIndices13784.2FixedCoupons13795.CollateralizedDebtObligations13805.1CashCDOs13805.2SyntheticCDOs13825.3SyntheticCDOValuation13835.4DefaultCorrelationModelsandtheProbabilityofDefault13

3、855.5ANon-HomogeneousModel13875.6GaussianandOtherFactorCopulaModels13875.7IndexCDOs13895.8CDOEconomics13906.CreditDerivativesandtheCrisis13927.Conclusions1394References13951.INTRODUCTIONAnimportantdevelopmentinderivativesmarketsinthelast10to15yearshasbeentheemergenceofc

4、reditderivatives.Creditderivativesprovidepayoffscontingentonthecreditworthinessofoneormorecompanies,countries,orotherentities.Usuallythepay-offsarecontingentondefaults.Inthelate1990slawyersworkingfortheInternationalSwapsandDerivativesAssociationcameupwithadefinitionofde

5、faultthattradersfeltcomfortablewith,andthistriggeredrapidgrowthofthemarket.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00020-2Allrightsreserved.13631364JohnHullandAlanWhiteTheBankforInternationalSettlements(BIS)startedpro

6、ducingstatisticsforthesizeofthecreditderivativesmarketinDecember2004.Atthattime,thetotalnotionalprincipalunderlyingoutstandingcontractswasestimatedtobeabout$6trillion.Itpeakedat$58trillioninDecember2007andhassincefallento$30trillion.Thecom-paniesorcountrieswhosedefaults

7、triggerpayoffsarereferredtoas“referenceentities”.Instrumentsareclassifiedas“single-name”or“multi-name”dependingonwhetherthereisoneormorethanonereferenceentity.InDecember2010,BISstatisticsshowthat,ofthe$30trilliondollarsofnotionalprincipaloutstanding,$18trillionwasforsin

8、gle-nameinstrumentsand$12trillionwasformulti-nameinstruments.Creditderivativesareanimportantinnovationinfinanc