Title: Research on the Shift of Default Risk in Supply Chain Based on the Credit Default Swap
Abstract: Taking the retailerpsilas default in supply chain for example, in this paper, using the theory of credit default swap, the writer intends to make a research on the shift of default risk in supply chain. On the condition of insured interest rate and recovery rate, a supposition is made that the default rate of supply chain depends on the doubly stochastic Poisson default process, and then a model of credit default swap is established, and a simple pricing model of standard credit default swap and long-term credit default swap are discussed.
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
Indexed In: ['crossref']
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