本文關(guān)鍵詞：基于BDS和合成CDO的定價(jià)與對(duì)沖模型研究　出處：《浙江大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 定價(jià) 對(duì)沖 隨機(jī)回收 信用加價(jià)風(fēng)險(xiǎn) 違約風(fēng)險(xiǎn)

【摘要】：信用衍生品代表著過(guò)去二十多年來(lái)金融市場(chǎng)上最重要的創(chuàng)新,成為眾多金融機(jī)構(gòu)進(jìn)行資產(chǎn)管理和風(fēng)險(xiǎn)管理所必不可少的工具。隨著金融市場(chǎng)的發(fā)展以及市場(chǎng)風(fēng)險(xiǎn)的增加,深入研究信用衍生品特別是組合型產(chǎn)品的定價(jià)模型和對(duì)沖理論,構(gòu)建出符合市場(chǎng)規(guī)律的數(shù)量模型是現(xiàn)實(shí)的需要,同時(shí)也對(duì)全球金融市場(chǎng)繁榮穩(wěn)定的發(fā)展具有重大意義。本論文主要針對(duì)組合型信用衍生品中占據(jù)基礎(chǔ)和核心地位的產(chǎn)品一籃子違約互換(BDS)和合成擔(dān)保債責(zé)憑證(合成CDO)的定價(jià)和對(duì)沖進(jìn)行研究,改進(jìn)市場(chǎng)上現(xiàn)存的定價(jià)和對(duì)沖模型,期待為市場(chǎng)上的參與者能夠更進(jìn)一步了解信用衍生品,能夠有效地進(jìn)行風(fēng)險(xiǎn)管理和資產(chǎn)定價(jià)提供理論基礎(chǔ)。 在信用衍生品的定價(jià)方面,本論文針對(duì)市場(chǎng)上一般定價(jià)模型將回收率假設(shè)為確定的常數(shù),違背市場(chǎng)回收率的變化規(guī)律,忽略回收風(fēng)險(xiǎn),導(dǎo)致BDS定價(jià)及合成CDO分塊特別是優(yōu)先級(jí)分塊定價(jià)失效等缺陷,在點(diǎn)隨機(jī)回收率假設(shè)下,給出第一違約互換和第k違約互換的因子Copula定價(jià)模型及解析的定價(jià)公式。最后數(shù)值實(shí)驗(yàn)比較了在常回收率下和隨機(jī)回收率下第一違約互換合約在齊次組合下的保費(fèi)隨資產(chǎn)池個(gè)數(shù)遞增的變化情況,同時(shí),數(shù)值實(shí)驗(yàn)還分析了保費(fèi)隨相關(guān)性參數(shù)變化的情況。實(shí)驗(yàn)結(jié)果反映了回收率的不同假設(shè)對(duì)定價(jià)結(jié)果產(chǎn)生重要影響,提醒市場(chǎng)上的參與者不能只注重違約風(fēng)險(xiǎn),回收風(fēng)險(xiǎn)同樣決定著投資者的收益。 在信用衍生品的風(fēng)險(xiǎn)對(duì)沖方面,本文對(duì)產(chǎn)品BDS和合成CDO都進(jìn)行了系統(tǒng)的研究�，F(xiàn)如今市場(chǎng)上還缺乏一個(gè)理論性強(qiáng)且易操作的對(duì)沖模型。Laurent在2008年提出一個(gè)動(dòng)態(tài)對(duì)沖CDO分塊違約風(fēng)險(xiǎn)的策略模型。此模型基于鞅表示定理運(yùn)用銀行賬戶和組合型指數(shù)產(chǎn)品對(duì)CDO分塊進(jìn)行復(fù)制,并在一個(gè)動(dòng)態(tài)組合樹下實(shí)現(xiàn)了模型。本文基于此模型進(jìn)行了改進(jìn)和擴(kuò)展,提出了一系列新的對(duì)沖策略模型。首先,本論文放松常回收率的假設(shè),將回收率假設(shè)為資產(chǎn)池違約個(gè)數(shù)的線性函數(shù)并給出其校準(zhǔn)程序,在此隨機(jī)回收下,本文給出第一違約互換和第n違約互換的對(duì)沖策略模型。數(shù)值實(shí)驗(yàn)計(jì)算了第一違約互換和第n違約互換的對(duì)沖比例,并比較了在Laurent模型和本文所提模型下CDO分塊[0,3%]和[12%,22%]的對(duì)沖比例結(jié)果。實(shí)驗(yàn)表明不同回收率對(duì)衍生品的對(duì)沖策略影響重大,特別是合成CDO的優(yōu)先級(jí)分塊。第二,本論文放松資產(chǎn)齊次組合假設(shè),將資產(chǎn)池根據(jù)地域性及信用等級(jí)等特性分為兩個(gè)齊次組,并假設(shè)每個(gè)組的強(qiáng)度依賴于兩組的違約個(gè)數(shù),在此基礎(chǔ)上提出強(qiáng)度的校準(zhǔn)程序并構(gòu)建了第一違約互換和合成CDO分塊的對(duì)沖策略模型。此模型為進(jìn)一步建立更符合與市場(chǎng)實(shí)際的非齊次對(duì)沖策略模型提供了新的思路。最后,本論文針對(duì)市場(chǎng)上大多模型包括Laurent模型只考慮單一風(fēng)險(xiǎn)的對(duì)沖,忽略衍生品的信用加價(jià)風(fēng)險(xiǎn)和違約風(fēng)險(xiǎn)的同時(shí)存在性,而同時(shí)對(duì)沖這兩種風(fēng)險(xiǎn)是今后信用衍生品風(fēng)險(xiǎn)對(duì)沖研究的重要問(wèn)題,進(jìn)而本論文首次引入組合預(yù)測(cè)思想建立了同時(shí)對(duì)沖CDO分塊信用加價(jià)風(fēng)險(xiǎn)和違約風(fēng)險(xiǎn)的策略模型,并給出數(shù)值實(shí)驗(yàn)。此模型的構(gòu)建為同時(shí)對(duì)沖兩種風(fēng)險(xiǎn)的策略模型提供了新的方法。 數(shù)量模型已成為市場(chǎng)定價(jià)和風(fēng)險(xiǎn)管理必備的工具,但是模型無(wú)論其多完善,都在一定程度上依賴于某種假設(shè),違背市場(chǎng)的真實(shí)運(yùn)行規(guī)律,有著不可避免的種種缺陷,因此進(jìn)一步完善模型,最低程度依賴假設(shè),揭示市場(chǎng)的真實(shí)規(guī)律是今后建模的關(guān)鍵,期待本文所提模型及相應(yīng)的結(jié)果能為理論界和實(shí)務(wù)界對(duì)信用衍生品風(fēng)險(xiǎn)管理和資產(chǎn)定價(jià)提供思路。
[Abstract]:Credit derivatives represent the most important innovations in the financial markets over the past more than 20 years, a number of financial institutions are essential for asset management and risk management tool. With the increase of the development of the financial market and the market risk, especially in-depth study of credit derivatives pricing model and hedging theory combined products, build a quantitative model in line with the market the law is the realistic need, but also is of great significance to the development of global financial market stability and prosperity. This thesis focuses on the occupy the foundation and core combination of credit derivatives products in a basket default swap (BDS) and Synthetic Collateralized Debt and Liability Certificate (synthetic CDO) pricing and hedging of improved market the existing pricing and hedging models, looking for market participants to further understand the credit derivatives, can effectively carry out the wind Risk management and asset pricing provide a theoretical basis.
In the pricing of credit derivatives, the market will be a general pricing model to determine the recovery rate assumed constant, contrary to the changes of the market recovery, ignoring the recovery risk, resulting in BDS pricing and synthesis of CDO block in particular priority block pricing failure, the random recovery rate under the assumption that gives the first default swaps and the default K factor Copula pricing model and analytic swap pricing formula. Finally, numerical experiments on the recovery rate often changes, and random recovery rate of the first default swaps in homogeneous combinations of the premium with the number of asset pool increasing at the same time, the numerical experiments also analyzed the change of the premium with the correlation parameters. The experimental results show that the recovery rate of different assumptions have an important impact on the pricing results, remind the market participants can not only pay attention to the risk of default, recovery risk It also determines the returns of the investor.
In the credit derivatives to hedge risk, this paper has made a systematic study on the synthesis of CDO and BDS products. Now the market is the lack of a strong theoretical and operational hedge model of.Laurent proposed in 2008 a dynamic hedging strategy model of CDO block. The default risk model based on martingale representation theorem by the bank account and composite index products of CDO block copy, and implement the model in a dynamic combination tree. Based on this model was improved and extended, put forward a series of new hedge strategy model. Firstly, this paper put loose recovery often assumptions, the recovery rate is assumed for the calibration the program assetpool default number of linear function given in this random recovery, this paper gives the first to default swaps and the N default swaps hedge strategy model. The numerical experiment is calculated first to default swaps and the n. Swaps hedge ratio, and compares the Laurent model and the proposed model CDO block [0,3%] and [12%, the proportion of hedge results 22%]. The experimental results show that the recovery rate of different derivatives hedging strategies have significant impact, especially in the synthesis of CDO block priority. Second, this dissertation relaxes the homogeneous portfolio assets hypothesis. The asset pool is divided into two homogeneous groups according to the regional characteristics and credit rating, and assuming that each group is dependent on the strength of the two groups of the default number, based on the strength calibration procedure and constructed the first to default swaps and hedge strategy model of synthesis of CDO block. This model to further establish more in accordance with the inhomogeneous model and the actual market hedging strategy provides a new way of thinking. Finally, this thesis focuses on the market most models include the Laurent model only considers a single risk hedge, ignoring the credit derivatives price wind At the same time risks and there is a risk of default, while the two hedge risk is an important problem of risk hedging of credit derivatives in the future, then this paper first introduced the combination forecasting thought up the hedge CDO block increase credit risk and default risk model, and gives the numerical experiments. The construction of this model provides a new the methods and Strategies of model two and hedge risk.
The number of models have become the market pricing and risk management tools necessary, but regardless of how to improve the model, to a certain extent, rely on some assumptions, the real operation of violate the laws of the market, there are inevitable defects, so the further improvement of the model, the lowest degree depends on the true hypothesis, to reveal the rules of market is the key in future modeling look, the model proposed in this paper and the corresponding results for the theory and practice to provide ideas for credit derivatives risk management and asset pricing.

【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.9

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本文編號(hào)：1382719