Valuation of Credit Contingent Interest Rate Swap with Credit Rating Migration
Valuation of Credit Contingent Interest Rate Swap with Credit Rating Migration
复制标题
信用评级迁移下的信用或有利率掉期估值
DOI：
10.1080/00207160.2020.1713315
复制
发表时间：
2020
影响因子：
1.8
通讯作者：
Hongchun Zou
中科院分区：
文献类型：
--
作者：
Jin Liang;Hongchun Zou
本文提出了一个对随机利率和交易对手违约风险敏感的信用评级迁移的信用或有利率互换（CCIRS）的弹性定价模型。这是CCIRS的新定价模式。基础利率互换（IRS）的交易对手被视为具有高和低信用等级，信用评级迁移通过基于结构框架的利率的首次尝试进行建模。此外，基础IRS的违约事件使用简化形式的框架建模。通过对信用评级迁移下的CCIRS合同现金流的分析，得到了CCIRS价值所满足的偏微分方程。最后讨论了交替方向隐式（ADI）方法的数值结果和参数分析，并给出了数值算法与正则显式格式相结合的收敛速度。
In this paper, a flexible pricing model for Credit Contingent Interest Rate Swap (CCIRS) with credit rating migration is proposed, which is sensitive to stochastic interest rates and counterparty default risk. This is a new pricing model for CCIRS. The counterparty of the underlying interest rate swap (IRS) is considered to have a high and a low credit grade, and credit rating migration is modelled by the first attempt of the interest rate based on the structural framework. Furthermore, the default event for the underlying IRS is modelled using the reduced-form framework. The partial differential equation (PDE) satisfied by the value of CCIRS with credit rating migration is derived by analysing the cash flow of a CCIRS contract. Finally, the numerical results and parameter analysis, which are solved by using the alternating direction implicit (ADI) method, are discussed and the convergence rate of the numerical algorithm combined with a regular explicit scheme is also suggested.