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

  更多相關(guān)文章： 定價 對沖 隨機回收 信用加價風險 違約風險

【摘要】：信用衍生品代表著過去二十多年來金融市場上最重要的創(chuàng)新,成為眾多金融機構(gòu)進行資產(chǎn)管理和風險管理所必不可少的工具。隨著金融市場的發(fā)展以及市場風險的增加,深入研究信用衍生品特別是組合型產(chǎn)品的定價模型和對沖理論,構(gòu)建出符合市場規(guī)律的數(shù)量模型是現(xiàn)實的需要,同時也對全球金融市場繁榮穩(wěn)定的發(fā)展具有重大意義。本論文主要針對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)和合成擔保債責憑證(合成CDO)的定價和對沖進行研究,改進市場上現(xiàn)存的定價和對沖模型,期待為市場上的參與者能夠更進一步了解信用衍生品,能夠有效地進行風險管理和資產(chǎn)定價提供理論基礎(chǔ)。 在信用衍生品的定價方面,本論文針對市場上一般定價模型將回收率假設(shè)為確定的常數(shù),違背市場回收率的變化規(guī)律,忽略回收風險,導致BDS定價及合成CDO分塊特別是優(yōu)先級分塊定價失效等缺陷,在點隨機回收率假設(shè)下,給出第一違約互換和第k違約互換的因子Copula定價模型及解析的定價公式。最后數(shù)值實驗比較了在常回收率下和隨機回收率下第一違約互換合約在齊次組合下的保費隨資產(chǎn)池個數(shù)遞增的變化情況,同時,數(shù)值實驗還分析了保費隨相關(guān)性參數(shù)變化的情況。實驗結(jié)果反映了回收率的不同假設(shè)對定價結(jié)果產(chǎn)生重要影響,提醒市場上的參與者不能只注重違約風險,回收風險同樣決定著投資者的收益。 在信用衍生品的風險對沖方面,本文對產(chǎn)品BDS和合成CDO都進行了系統(tǒng)的研究�，F(xiàn)如今市場上還缺乏一個理論性強且易操作的對沖模型。Laurent在2008年提出一個動態(tài)對沖CDO分塊違約風險的策略模型。此模型基于鞅表示定理運用銀行賬戶和組合型指數(shù)產(chǎn)品對CDO分塊進行復制,并在一個動態(tài)組合樹下實現(xiàn)了模型。本文基于此模型進行了改進和擴展,提出了一系列新的對沖策略模型。首先,本論文放松�；厥章实募僭O(shè),將回收率假設(shè)為資產(chǎn)池違約個數(shù)的線性函數(shù)并給出其校準程序,在此隨機回收下,本文給出第一違約互換和第n違約互換的對沖策略模型。數(shù)值實驗計算了第一違約互換和第n違約互換的對沖比例,并比較了在Laurent模型和本文所提模型下CDO分塊[0,3%]和[12%,22%]的對沖比例結(jié)果。實驗表明不同回收率對衍生品的對沖策略影響重大,特別是合成CDO的優(yōu)先級分塊。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)地域性及信用等級等特性分為兩個齊次組,并假設(shè)每個組的強度依賴于兩組的違約個數(shù),在此基礎(chǔ)上提出強度的校準程序并構(gòu)建了第一違約互換和合成CDO分塊的對沖策略模型。此模型為進一步建立更符合與市場實際的非齊次對沖策略模型提供了新的思路。最后,本論文針對市場上大多模型包括Laurent模型只考慮單一風險的對沖,忽略衍生品的信用加價風險和違約風險的同時存在性,而同時對沖這兩種風險是今后信用衍生品風險對沖研究的重要問題,進而本論文首次引入組合預(yù)測思想建立了同時對沖CDO分塊信用加價風險和違約風險的策略模型,并給出數(shù)值實驗。此模型的構(gòu)建為同時對沖兩種風險的策略模型提供了新的方法。 數(shù)量模型已成為市場定價和風險管理必備的工具,但是模型無論其多完善,都在一定程度上依賴于某種假設(shè),違背市場的真實運行規(guī)律,有著不可避免的種種缺陷,因此進一步完善模型,最低程度依賴假設(shè),揭示市場的真實規(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)果能為理論界和實務(wù)界對信用衍生品風險管理和資產(chǎn)定價提供思路。
[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.

【學位授予單位】：浙江大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F224;F830.9

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本文編號：1382719