考虑对手方违约风险首次违约互换合约的定价

摘要

The pricing problem of first-to-default swap contract with counterparty default risk is considered by applying synthesized stochastic analysis theory and reduced method. A hyperbolic attenuation function is introduced to reflect the default correlation between two assets in a asset pool. Based on the total hazard rate construction method, the pricing mathematical models of first-to-default swap contract with considering counterparty default risk is described, moreover, the corresponding pricing formula is given and risk analysis is considered.%研究时手方违约风险的首次违约互换合约的定价问题.通过双曲衰减的违约相关模型来刻画资产池中两个资产之间的相互依赖性结构,利用总的违约时间构建方法,建立了考虑对手方违约风险的首次违约互换合约的数学模型,得到了合约的定价公式,并进行了风险分析.