Research On The Pricing Of Credit Default Swap With Stochastic Interest Rate Model And Its Application

Credit risk refers to the default risk,it is financial market participants have an important issue.All countries and regional financial cooperation gradually deep-ened,how to transfer useful and avoid credit risk is a problem that must be overcome by the participants in the financial industry.In 1992,the beginning of the last cen-tury,held in France Paris International swaps and Derivatives Association(ISDA)meeting for the first time put forward can be used to transfer,diffusion,new prod-ucts to hedge credit risk,credit derivatives credit derivatives.In the management of credit risk has played an important role in the development of very quickly.Credit default swaps(Credit Default,Swap,CDS)is currently in circulation on the market of credit derivative products,this type of credit derivative product is equivalent to the risk of default,investors should buy insurance.A credit default swap pricing is actually on the corporate bond default risk and pricing theory.The structure model of the company the default process that the value of the company's assets is less than the value of the debt based,that,is insolvent,the breach took place.In fact,the company's debt exceeds the value of the assets,if the company has the expected future cash flow of income,the company does not necessarily go bankrupt.People usually think the company defaults,but this may because the current corporate finance in poor condition,or a larger investment,or there is no profit,but future earnings can be expected,at this time that the company completely bankrupt Defective.This paper studies the stochastic interest rate conditions,in effect during the swap has occurred,the reference of breach of contract,but the party has reference to the expected benefits of cash flow,in the final days of observation is the classification of real credit default default default swap pricing problem.Then combined with the Internet financial products today,the classification of credit default design a swap,the price is calculated,has certain practical significance.