Change Analysis for the Dependence Structure and Dynamic Pricing of Basket Default Swaps
Change Analysis for the Dependence Structure and Dynamic Pricing of Basket Default Swaps
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DOI：
10.1111/eufm.12036
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发表时间：
2015-09
期刊：
影响因子：
--
通讯作者：
Ping Li;Ze Li
中科院分区：
文献类型：
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作者：
Ping Li;Ze Li
本文采用一种动态联结方法来描述金融资产与价格篮子违约掉期（BDSs）之间的依赖结构。我们首先采用good - of - <e:2>拟合检验和二值分割方法来分析北斗系统基础义务之间依赖结构的变化，然后给出一个数值示例来演示变化分析和北斗系统定价过程。我们发现，在不同的时间段，数据的最佳拟合公式是不一样的；因此，北斗系统的分段价差也不同。我们还将所得结果与静态和动态高斯copuls所得结果进行了比较。结果表明，静态高斯copula和动态高斯copula方法低估了风险较高的部分的价差，而高估了风险较低的部分的价差。
In this paper we use a type of dynamic copula method to characterise the dependence structure between financial assets and price basket default swaps (BDSs). We first employ a goodness†of†fit test and a binary segmentation procedure to analyse the change of dependence structure between the obligations underlying a BDS, then present a numerical example to demonstrate the change analysis and BDS pricing process. We find that in different time periods, the best copula fitting the data is not the same; therefore the tranche spreads of the BDS are also different. We also compare our results with those obtained from static copulas and dynamic Gaussian copulas. The results show that the static copula and dynamic Gaussian copula methods underestimate the spreads for riskier tranches and overestimate those for less risky tranches.