摘要翻译：
本文建立了一个分析违约概率依赖于某些动力学参数的结构模型，并给出了如何利用选定数量的信用违约互换(CDS)市场报价来校准模型。我们基本上展示了如何使用具有校准能力的结构模型，这是更容易处理的基于信用利差的强度模型的典型。我们将结构模型应用到一个具体的校准案例中，观察当CDS隐含的信用质量随着企业接近违约而恶化时，校准动态会发生什么变化。最后，我们给出了一个典型的例子，说明了校准的结构模型比校准的简化模型可以更方便地用于信用定价：股权交换交易对手风险的定价。
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英文标题：
《Credit Default Swap Calibration and Equity Swap Valuation under
  Counterparty Risk with a Tractable Structural 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 paper we develop a tractable structural model with analytical default probabilities depending on some dynamics parameters, and we show how to calibrate the model using a chosen number of Credit Default Swap (CDS) market quotes. We essentially show how to use structural models with a calibration capability that is typical of the much more tractable credit-spread based intensity models. We apply the structural model to a concrete calibration case and observe what happens to the calibrated dynamics when the CDS-implied credit quality deteriorates as the firm approaches default. Finally we provide a typical example of a case where the calibrated structural model can be used for credit pricing in a much more convenient way than a calibrated reduced form model: The pricing of counterparty risk in an equity swap.
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PDF链接：
https://arxiv.org/pdf/0912.3028