This article adopts a simplified approach to assess the correlation structure of credit risk. The
approach could significantly reduce the numbers of estimated parameters in credit risk …

A class of analytically tractable bivariate Markov modulated point process is presented in
this article. The intensities of the bivariate jump process are assumed to be driven by a …

The purpose of this paper is to price Collateralized Debt-Commodity Obligation (CDCO)
based on the structure of Synthetic CDO, which combine both credit risk and commodity …

In the spirit of reduced-form models, default is treated as an unpredictable jump with an
exogenously specific hazard rate process. Most researchers using reduced-form models …

In this paper, we propose a hybrid method that combines a hazard rate model with the
CreditGrades model to value credit default swap (CDS) contracts. The CreditGrades model …

資產證券化源自1970 年代, 第一筆擔保債權憑證交易自1988 年出現在美國,
然後在歐美迅速發展, 目前已成為重要的債券市場. 台灣金融產業發展正值轉型期 …

This paper examines the validity of ratings assigned by rating agencies on structured
products: ABS and ABS CDO. The rating agencies have been criticized for assigning AAA …

债务抵押债券在美国次债危机中扮演了非常重要的角色, 对其正确定价引起学术界的普遍关注.
本文利用KMV 模型估算出各债务人的违约概率, 并用三种Copula 函数分别估算出债务人之间的 …

利用KMV 模型估算出各债务人的违约概率, 并用Copula 函数分别估算出债务人之间的违约相关
系数, 模拟出各债务人的违约时点, 在此基础上对债务抵押债券各系列进行定价; …