New models and valuation methods for portfolio credit derivatives

投资组合信用衍生品的新模型和估值方法

• 批准号: LP0453787
• 负责人: Dr Peter Buchen
• 金额: $ 6.58万
• 依托单位: The University of Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2004
• 资助国家: 澳大利亚
• 起止时间: 2004-11-30 至 2010-08-29
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0453787
• 关键词: New; models; valuation; methods; portfolio

Portfolio credit derivatives provide a mechanism to simultaneously transfer credit exposures to a large number of counterparties within a single transaction. However, no generally accepted valuation model for such credit portfolios is currently available. This project aims to develop new mathematically-based technologies to allow institutions such as Westpac (the Industry Partner) to optimally manage their credit exposures. The outcome will be a class of superior models and operational risk management tools that will ensure the value and risks of these transactions are properly understood and accurately quantified. These models will enhance both the knowledge base of the industry and academic scholarship.

投资组合信用衍生工具提供了一种机制，可以在一笔交易中同时将信用风险转移给大量交易对手。然而，目前并无普遍接受的信贷组合估值模式。该项目旨在开发新的基于风险的技术，以使西太平洋银行（行业合作伙伴）等机构能够最佳地管理其信用风险。其成果将是一系列上级模型和操作风险管理工具，这些工具将确保这些交易的价值和风险得到正确理解和准确量化。这些模型将增强行业的知识基础和学术研究。