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HullRMFI2ndEdCh15金融风险管理.ppt
Risk Management and Financial Institutions 2e, Chapter 15, Copyright ? John C. Hull 2009 Credit Risk in Derivatives Transactions (page 278) Three cases Contract always an asset Contract always a liability Contract can be an asset or a liability * Risk Management and Financial Institutions 2e, Chapter 15, Copyright ? John C. Hull 2009 General Result Assume that default probability is independent of the value of the derivative Define t1, t2,…tn: times when default can occur qi: default probability at time ti. fi: The value of the contract at time ti R: Recovery rate * Risk Management and Financial Institutions 2e, Chapter 15, Copyright ? John C. Hull 2009 General Result continued The expected loss from defaults at time ti is qi(1-R)E[max(fi,0)]. Defining ui=qi(1-R) and vi as the value of a derivative that provides a payoff of max(fi,0) at time ti, the PV of the cost of defaults is * Risk Management and Financial Institutions 2e, Chapter 15, Copyright ? John C. Hull 2009 Applications If contract is always an asset so that fi 0 then vi = f0 and the cost of defaults is f0 times the total default probability, times 1?R If contract is always a liability then vi= 0 and the cost of defaults is zero In other cases we must value the derivative max(fi,0) for each value of i * Using Bond Yields for Instruments in the First Category All instruments that promise a (non-negative) payoff at time T should be reduced in price by the same amount for default risk where f0 and f0* are the no-default and actual values of the instrument; B0 and B0* are the no-default and actual values of a zero-coupon bond maturing at time T; y and y* are the yields on these zero coupon bonds Risk Management and Financial Institutions 2e, Chapter 15, Copyright ? John C. Hull 2009 * Example 15.1 A 2-year option has a Black-Scholes value of $3 Assume a 2 year zero coupon bond issued by the company has a yield of 1.5% greater than the risk free rate Value of option is 3e-0.01
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