信用衍生品是金融市场发展到一定程度的产物。上个世纪九十年代初，美国经济衰退，商用地产泡沫破裂，公司违约上升，信贷资产恶化；与此同时，资本市场疲软，筹资成本上升。在这种情况下，银行坏账率上升，资本充足率下降。在股权融资成本升高的情况下，银行迫切期待一种可以低成本且又行之有效的转移资产组合风险的新方法。信用衍生品就是在这样一种情况下应运而生。凭借信用衍生品，银行成功地将一部分信用风险转移了出去；与此同时，银行的资本充足率也得到了改善。信用衍生品的这些积极影响，很快得到了市场的承认。从此，信用衍生品便一发而不可收。2008年金融危机的爆发使得信用衍生产品被推到风口浪尖，一时间成为众矢之的，被称之为这次危机的“罪魁祸首”。本文认为信用衍生品在规避和对冲信用风险、实现资产多样化、降低融资成本、创造特定风险特征等诸多方面，有着其他金融产品难以替代的重要作用。因此本文以信用衍生品作为研究对象，并具体分析的债务抵押凭证的定价方法。目前债务抵押凭证的定价方法主要有两类：联结函数法和概率桶算法。本文对这两种定价方法做了详细的介绍，并使用概率桶算法对国内市场上发行的一个产品——中信银行信银2008年第一期信贷资产证券化信托资产支持证券进行了定价的实证分析。

Credit derivatives are a product of financial market while it developed to a certain degree. In the early 1990s in America, the recession, commercial real estate bubble burst, company defaults rising, credit assets deteriorating; meanwhile, the capital market is sluggish, financing costs increase. In this case, bad debt increases in the bank, capital ratios are dropping. In equity financing the cost rising, a new method what can be low cost and can effectively transfer portfolio risk is desperate needed by a bank. Credit derivatives are arises out of such a situation. Relying on credit derivatives, Part of the credit risk is successfully transferred out; at the same time, the capital’s adequacy ratio has been improved. These positive impacts of credit derivatives soon got market recognition. Since then, the credit derivatives became once started.The 2008 financial crisis makes credit derivatives is pushed in the teeth of the storm, became a target for all, called the crisis’s "culprits". This paper argues that credit derivatives take on a irreplaceable important role in eluding and hedge credit risk, in achieving diversified investment and reducing the financing cost, in creating specific risk characteristics and other aspects, compared with other financial products. So taking credit derivatives as the research object, and specific analysis of the pricing method certificate Collateralized Debt Obligations.Currently Collateralized Debt Obligations vouchers pricing method basically has two kinds: coupling function method and probability bucketing method. In this paper the two pricing method will be explicitly introduced, and use the probability bucketing method to of domestic market bucket released a letter of CITIC bank silver product - the 2008 issue of credit asset securitization trust the pricing asset-backed securities of empirical analysis.