互换价差
- 网络Swap Spread
互换价差-
而HW模型则高估CBA，低估互换价差；
The HW model overestimates the CBA , so it underestimates the swap value ;
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由于避险行为和对银行违约的担忧，英国国债和美国国债的互换价差大幅上升。
Swaps spreads rose sharply in UK gilts and US Treasuries , amid a flight to quality and fear of bank defaults .
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摘要用考克斯过程来描述违约过程，在假设市场风险和信用风险线性相关的前提下，研究了信用违约互换价差的估值问题。
Applying Cox process to describe the process of noncompliance , the valuation issue of credit default swap is studied under the hypothesis that the market risk is correlated with credit linearly .