摘要翻译：
本文研究了随机利率下基于一般强度的信用风险模型中信用衍生品的最优清算时机。我们考虑了市场和投资者之间的潜在价格差异，这种差异的特征是在不同的违约风险premia规范下的风险中性估值。通过延迟平仓溢价的概念来量化最优卖出时机的价值，并分析了相关的概率表示和变分不等式。我们给出了单名和多名信用衍生品的最优清算策略。我们的模型被推广到研究有卖空约束和无卖空约束的顺序买卖问题。
---
英文标题：
《Risk Premia and Optimal Liquidation of Credit Derivatives》
---
作者：
Tim Leung and Peng Liu
---
最新提交年份：
2012
---
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
--
一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
--

---
英文摘要：
  This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different default risk premia specifications. We quantify the value of optimally timing to sell through the concept of delayed liquidation premium, and analyze the associated probabilistic representation and variational inequality. We illustrate the optimal liquidation policy for both single-named and multi-named credit derivatives. Our model is extended to study the sequential buying and selling problem with and without short-sale constraint.
---
PDF链接：
https://arxiv.org/pdf/1110.0220