An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
提出了一个显式解法的信用违约互换定价模型，允许利率和违约风险率相关，并用2000-2003年60家公司的交易数据检验了模型拟合度和经济变量的影响。
Abstract With the recent significant growth in the single-name credit default swap (CDS) market has come the need for accurate and computationally efficient models to value these instruments. While the model developed by Duffie, Pan, and Singleton (2000) can be used, the solution is numerical (solving a series of ordinary differential equations) rather than explicit. In this paper, we provide an explicit solution to the valuation of a credit default swap when the interest rate and the hazard rate are correlated by using the “change of measure” approach and solving a bivariate Riccati equation. CDS transaction data for the period 2/15/2000 through 4/8/2003 for 60 firms are used to test both the goodness of fit of the model and provide estimates of the influence of economic variables in the market for credit-risky bonds.