摘要翻译：
在这项工作中，我们建立了一个易于处理的结构模型，分析违约概率依赖于随机违约障碍和可能的随机波动率，理想地与基于情景的基础公司债务相关联。我们展示了如何使用选定的参考信用违约互换(CDS)市场报价来校准这个模型。一般说来，该模型可以看作是Brigo和Tarenghi(2004)中时变AT1P模型的一个可能的扩展。情景波动率/屏障模型(SVBAT1P)在保持时间常数波动率时，其校正能力不如具有时变确定性波动率的AT1P。然而，SVBAT1P模型保持了时间同质性的优点，可以导致令人满意的校准结果，正如我们在一个案例研究中所显示的那样，我们比较了关于场景和参数的不同选择。与AT1P类似，SVBAT1P适用于为混合股权/信用衍生品定价，评估股权收益中的交易对手风险，更一般的是评估混合信用/股权收益。我们考虑了Brigo和Tarenghi(2004)中的股权收益互换，并用与AT1P相同的CDS和股权校正输入给出了它在SVBAT1P下的估值，并在结论中进一步提示了股权违约互换的估值。
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英文标题：
《Credit Default Swap Calibration and Counterparty Risk Valuation with a
  Scenario based First Passage Model》
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作者：
Damiano Brigo, Marco Tarenghi
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to calibrate this model using a chosen number of reference Credit Default Swap (CDS) market quotes. In general this model can be seen as a possible extension of the time-varying AT1P model in Brigo and Tarenghi (2004). The calibration capability of the Scenario Volatility/Barrier model (SVBAT1P), when keeping time-constant volatility, appears inferior to the one of AT1P with time-varying deterministic volatility. The SVBAT1P model, however, maintains the benefits of time-homogeneity and can lead to satisfactory calibration results, as we show in a case study where we compare different choices on scenarios and parameters. Similarly to AT1P, SVBAT1P is suited to pricing hybrid equity/credit derivatives and to evaluate counterparty risk in equity payoffs, and more generally to evaluate hybrid credit/equity payoffs. We consider the equity return swap in Brigo and Tarenghi (2004) and show its valuation under SVBAT1P with the same CDS and equity calibration input used earlier for AT1P, and further we hint at equity default swap valuation in the conclusions.
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PDF链接：
https://arxiv.org/pdf/0912.3031