Research On CDS Pricing Based On Structured Model

In the 90s of last century,a new type of credit derivative was born:Credit default swap(CDS).It has retained the bright spot of the traditional credit derivatives and its unique advantages.As soon as it came out,it has been developing strongly in foreign countries with its excellent ability to transfer credit risk and enhance the efficiency of the basic financial market.The frenzy of the trader to CDS reached the eve of the 2008 that wave and the global subprime crisis.The period of prosperity.CDS has been flourishing for more than 20 years,but behind the rapid expansion it is also disputed because of its own defects.Due to excessive issuance,imperfect products,and more speculative trading,the CDS stealth bomb was detonated in the 2008 financial crisis.There are some serious shocks.At present,China is stepping up its efforts to develop structural financial derivatives such as CDS.In September 23,2016,the Chinese version of CDS came out smoothly.In this context,in order to avoid the financial crisis caused by such financial derivatives,it is necessary for us to reexamine the CDS pricing mechanism and to study a more stable and accurate CDS pricing model.The pricing model of CDS products is mainly based on the option theory,which includes two types:structured model and simplified model.Most of the existing research methods for CDS pricing are based on the framework of the above two models.In this paper,the pricing mechanism of the two models is reviewed,and the pricing process and pricing principle of the two models are clearly defined,and the structured model is selected,the KMV model and the Hull-white model are combined to carry out an empirical analysis through numerical simulation,and the CDS of the HCA company is priced,and the deficiency and lack of the Chinese version of CDS is the last.China's emerging CDS products offer some useful experiences.es.