Study On The Pricing Of Credit Default Swaps Products

A credit default swap is an effective tool used to transfer the risk of credit to obtain the protection for losses occurring due to a credit event of a reference entity up to the maturity date of the swap, the buyer pays a periodic fee for this protection up to the maturity date, unless a credit event triggers the contingent payment. If such trigger happens, the buyer of protection only needs to pay the accrued fee up to the day of the credit event, so CDS plays an important role in the credit risk management.The owner of credit assets can manage the risk actively and dynamically.Based the analysis, a credit default swap is an option, By paying premium to seller, the buyer obtains a protection d for losses occurring due to a credit event of a reference entity up to the maturity date of the swap.This paper firstly classify the credit default swaps, based on the option pricing methods, this paper made study on the pricing of three kinds of credit default swaps.This paper mainly includes:Chapter one, introduced the background and significance of this study and summarized the relevant research literature,Chapter two, introduced the concept and classification of the credit default swaps product, and made a general introduction to the derivatives pricing theory involved in this paper. Chapter three to Chapter five is the core of this paper. On the basis of certain assumptions, using Black-Scholes option pricing methods, we got the pricing model to the credit default swaps. We solve the model with the flexible use of various methods of solving partial differential equations, After the model solved, we combine the specific products to research the detailed pricing. Chapter six summarized the study of the full text, analyzed the shortcomings of this study, and indicated the direction of the future research.