서지주요정보
신용 디폴트 스왑 옵션의 가격결정에 관한 사례 연구 : hull and white 방법론을 중심으로 = A case study on the valuation of credit default swap pptions : using hull and white methodology
서명 / 저자 신용 디폴트 스왑 옵션의 가격결정에 관한 사례 연구 : hull and white 방법론을 중심으로 = A case study on the valuation of credit default swap pptions : using hull and white methodology / 공형철.
저자명 공형철 ; Kong, Hyung-Chul
발행사항 [대전 : 한국과학기술원, 2004].
Online Access 원문보기 원문인쇄

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8015349

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 04051

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9009689

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MGSM 04051

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초록정보

This thesis presents a standard market model for valuing European credit default swap options. A credit default swap (CDS) option is a credit derivatives contract whose underlying is a forward credit default swap. The valuation formula for CDS options is very similar to the model of European swaptions. Once default probabilities and expected recovery rates have been estimated, it enables traders to calculate option prices from credit default swap spread volatilities. To value an option price, implied default probabilities from CDS spreads were derived and used as a key variable. The CDS option price should reflect the fair market value of future cash-flows based on contingent claims between reference bond and forward credit default swap. As a result of this study, it shows that the option price using Hull and White [2003] model is a little over-valued compared to the case. The option price was affected by the accrual interest on bond, spread volatility and discount factors. When we set the accrual interest equals zero, the option price was little changed. We assumed a LIBOR zero curve as a risk-free interest rate but in reality, there would exist a credit risk to be added. Besides, we should consider the transaction cost and the possible difference of modeling pricing tool. Compared credit spread with CDS spread, it seemed that the credit spread might be used as an indicator to find a fair value of CDS spread. In this thesis, we assumed recovery rate was given and tested sensitivity analysis. It showed that the effect to the option price was relatively small affected by trade-offs between default probability and payoff. The spread volatility was calculated from historically quoted spreads for the bond issued by the Rep. of Korea as a reference entity. As the market for CDS options becomes well established, it is likely that implied volatilities for CDS options will be produced in much the same way that implied volatilities are produced for options on other assets.

서지기타정보

서지기타정보
청구기호 {MGSM 04051
형태사항 v, 77 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록: 1, Log-linear interpolation for LIBOR zero curve. - 2, Simpson's rule with 1/3 method. - 3, Estimating CDS spread curve. - 4, Variables for pricing CDS options
저자명의 영문표기 : Hyung-Chul Kong
지도교수의 한글표기 : 김동석
지도교수의 영문표기 : Tong-Suk Kim
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 75-77
주제 신용 디폴트 스왑 옵션
가격결정
사례 연구
헐-화이트 방법론
CREDIT DEFAULT SWAP OPTIONS
VALUATION
CASE STUDY
HULL AND WHITE METHODOLOGY
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