The Pricing Theoretical Study On Credit Default Swap Products Of RMB

Credit derivatives is able to effectively control the credit risk of financialderivatives, and has been a rapid development and successful application, providing auseful reference for China’s commercial banks to control credit risk. Credit defaultswaps are the most simple, most basic trading tools of credit derivatives, soresearching credit default swaps helps to deepen the understanding of creditderivatives.Credit default swaps, denoted by the CDS. Buyer of credit protection does aregular or one-time premium payment to the seller of credit protection in the durationof contract, so when the reference asset credit event leads to loss of value, thecounterparty (the seller of credit protection) payouts some of the loss value to thecredit protection buyer. This makes the credit asset owners can take the initiative,dynamic management of credit risk, so the CDS plays a key role in the global creditrisk management. To be more accurately use credit default swaps to transfer creditrisk, it is a key issue to price of the credit default swaps product, determine the creditprotection buyer to pay the premium rates (General annual rate). We need a unifiedpricing model for specific financial market conditions to determine the paid.This paper studies RMB credit default swaps, focuses on its theoretical research.First it introduces the development of credit default swaps, research and an overviewof its pricing at home and abroad. And then focuses on the credit default swap pricingmodels, basing the CBIC introduces Misys Summit FT funds trading system projects,Using the Eviews software to analysis the influencing factors of the CDS price,providing some reference to Pricing model in the text. Then research the foreignmainstream pricing models which are already mature in the markets, reference themodel used in the system, by comparing the characteristics of different models,combining with China’s national conditions, we calculate the credit default swappricing models for the domestic market by theoretical studies and examples of asingle asset, that is the simple model. This has been provided a favorable referencedfor the Chinese credit derivatives pricing.