Introducing Fuzziness in CDS Pricing under a Structural Model
المؤلفون المشاركون
Wu, Liang
Sun, Jian-guo
Mei, Xian-bin
المصدر
Mathematical Problems in Engineering
العدد
المجلد 2018، العدد 2018 (31 ديسمبر/كانون الأول 2018)، ص ص. 1-7، 7ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2018-05-31
دولة النشر
مصر
عدد الصفحات
7
التخصصات الرئيسية
الملخص EN
OTC credit derivatives are nonstandardized financial derivatives which have the following characteristics.
(1) Information on trades is not public.
(2) There is no performance guarantee from the stock exchange.
(3) The bigger the risk in performance, the bigger the price floating.
These result in an asymmetry of market information flow and this asymmetry acts as a decisive factor in the credit risk pricing of financial instruments.
The asymmetry of market information flows will lead to obvious fuzziness in how counterparty risks are characterized, as in the process of valuing assets when discontinuous jumping takes place.
Accurately measuring the amplitude and frequency of asset values when influenced by information asymmetry cannot be arrived at just by analyzing the random values of historical data.
With this in mind, this paper hypothesizes both asset value jump amplitude and frequency of random parameters as a triangular fuzzy interval, i.e., a new double exponential jump diffusion model with fuzzy analysis.
It then gives a credit default swap pricing formula in the form of fuzziness.
Through the introduction of fuzzy information, this model has the advantage of being able to arrive at results in the form of triangular fuzziness and, consequently, being able to solve some inherent problems in a world characterized by asymmetry in the flow of market information and, to a certain extent, the inadequate disclosure of information.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Wu, Liang& Sun, Jian-guo& Mei, Xian-bin. 2018. Introducing Fuzziness in CDS Pricing under a Structural Model. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1208350
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Wu, Liang…[et al.]. Introducing Fuzziness in CDS Pricing under a Structural Model. Mathematical Problems in Engineering No. 2018 (2018), pp.1-7.
https://search.emarefa.net/detail/BIM-1208350
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Wu, Liang& Sun, Jian-guo& Mei, Xian-bin. Introducing Fuzziness in CDS Pricing under a Structural Model. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-7.
https://search.emarefa.net/detail/BIM-1208350
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1208350
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر