The Valuation Of Credit Derivatives Based On Portfolio

The default dependence between companies makes it hard to accurately value the credit derivatives based on portfolio, which is also a hot topic of credit risk researches nowadays.In this dissertation, we assume the default intensity process of companies in the portfolio conforms to one factor Vasicek model under the frame of reduced form. We introduce the closed-form solution model of joint survival time distribution to apply to the valuation of basket credit default swaps, credit default swap index and collateralized debt obligation, and analyze the results.According to the different structures and design, each product has its unique sensitivity to the factors like default intensity and default correlation. Compared to the conclusion of correspondent Copula model, we get almost the same propositions which reflects the features of the products accurately. It proves the accuracy and high-efficiency of our model about the valuation of credit derivatives based on portfolio to some extent.However, under the limitation of Vasicek model assumption, our model proves only useful to the basket with a small number of correlated companies, but not to the large-scale credit products like CDX.NA.IG and Itraxx correctly. But we've done certain estimate analysis about the suitable number our model fits and explained the feasibility of our model on small scale valuation. After all, our model is a new attempt to value the credit derivatives based on portfolio,...