学术报告

题      目：Pricing CDS Index Tranches under Thinning-Dependence Structure with Regime Switching

报  告  人：王过京  教授  (邀请人：杨舟 )

                                    苏州大学

时      间：11月27日  11：00-12：00

地     点：数科院西楼二楼会议室

报告人简介:

        王过京，苏州大学金融工程研究中心教授，博士生导师。承担《随机过程》，《随机分析》，《随机积分与微分方程》，《Levy过程》，《衍生产品定价》，《资产定价与风险管理》等课程的教学工作。主要研究方向为应用随机过程，保险数学和信用风险理论。在保险数学领域学术期刊《Insurance: Mathematics and Economics》和概率论领域学术期刊《Stochastic Process and Their Applications》上先后发表了12篇学术论文。从2008年开始，在《Insurance: Mathematics and Economics》，《Journal of Applied Probabilty》和《Economic Modelling》等期刊上发表了17篇信用风险理论方面的学术论文。先后主持国家自然科学基金3项，江苏省自然科学基金2项和教育部博士点基金1项。

摘      要：

        In this paper, we consider a portfolio credit risk model with the thinning-dependence structure under the case with regime switching and the one with no regime switching. We obtain the explicit expressions for the copulas of the default times. Based on the quotation convention of CDS index tranches, we derive some closed-form expressions for the pricing formulas for the CDS index tranche via the copulas and the marginal distribution functions of the default times. As an empirical example, we consider the pricing of the CDX NA IG Series 25. We demonstrate how the model parameter can be calibrated based on market data and how the numerical results can be calculated via the proposed pricing formulas. In terms of the aggregate loss to be protected, we conclude that the proposed pricing model with regime switching can provide a valuable reference for the market quotes for the CDX NA IG Series 25.

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