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Pricing and risk of credit default swaps

Author: LuoZuoYu
Tutor: ZhangShuLin
School: North China University of
Course: Quantitative Economics
Keywords: Credit default swaps Subprime mortgage crisis Simulation Evolutionary Game
CLC: F830.9
Type: Master's thesis
Year: 2010
Downloads: 227
Quote: 0
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Abstract


Credit risk is one of the most important forms of risk faced by the financial system as a whole , credit default swaps as a credit derivative products, the mainstream tools for credit risk management . Firstly, based on the credit spreads of credit default swap pricing strength model based on the theory under simplified conditions mortgage market CDS transactions by computer simulation . The results show that : the main factors affecting the CDS prices of default rates and restore the rate , and that people are too optimistic on the economy , financial institutions and investors overestimated the Recovery Rate underestimated loan delinquencies , resulting in a huge deviation CDS pricing ultimately protect the seller can not afford compensation for breach of contract , lenders of funds flow break to close down . Then , the risk of credit default swaps were analyzed. The analysis concluded that : in order to avoid the risk of credit and financial innovation as a tool for credit default swaps can indeed play a role of risk-averse , but as the largest credit derivatives , which itself can only play dispersed conduction of the role of risk , and can not eliminate the risk. Credit default swaps played a role in fueling the spread of the U.S. subprime mortgage crisis and expand , so the end of the article discusses the role of credit default swaps in the subprime mortgage crisis . In this paper, evolutionary game theory to analyze the credit behavior in the mortgage crisis and participate in the credit default swap transactions between banks , to discuss both the dynamic evolution and evolutionary stable equilibrium strategies in the game when the economic situation changes , and by the parametric analysis , reveal a cause of the subprime crisis .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market
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