本文關(guān)鍵詞：信用風(fēng)險緩釋工具定價理論與實證研究　出處：《天津財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用風(fēng)險緩釋工具 定價 風(fēng)險中性 Hull-White模型

【摘要】：2005年以來,隨著國家政策的大力支持,我國的信用類債券市場迅速發(fā)展,其市場規(guī)模已居于亞洲首位,與此同時,我國債券市場的風(fēng)險結(jié)構(gòu)也變成利率風(fēng)險與信用風(fēng)險并存的風(fēng)險結(jié)構(gòu)。2010年10月29日,信用風(fēng)險緩釋工具(CRM)的推出彌補了我國信用衍生產(chǎn)品市場的空白,豐富了市場參與者管理信用風(fēng)險的方法,對我國金融市場的穩(wěn)定與發(fā)展具有極其重要的意義。 作為一個市場化的信用衍生產(chǎn)品,CRM的定價方法的完善性和準(zhǔn)確性將直接影響CRM市場的發(fā)展。相對于發(fā)達(dá)國家的金融市場,我國的債券市場起步較晚,信用轉(zhuǎn)移信息、違約概率信息、回收率信息等與債券市場相關(guān)的信息披露并不完善,因此采用基于債券市場價格的風(fēng)險中性定價模型比基于歷史信息披露的真實世界定價模型更加適合于我國的CRM產(chǎn)品。在將Hull-White模型進行擴展的基礎(chǔ)上,使定價模型中的參數(shù)數(shù)據(jù)在我國債券市場中具有可獲得性,并利用已發(fā)行的9只CRMW的相關(guān)數(shù)據(jù)對推導(dǎo)的風(fēng)險中性定價模型進行實證分析,通過實證結(jié)果可發(fā)現(xiàn)利用該模型對我國的CRM進行定價具有一定的有效性,并且在采用相同無風(fēng)險利率的情況下,隨著回收率的提高,參考債券的違約概率也會提高,但是回收率的變化對CRM價格的影響卻并不明顯,這在一定程度上彌補了我國債券市場缺乏債券回收率的真實數(shù)據(jù)的不足。 作為“中國版”的CDS,CRM市場仍處于起步階段,2008年金融危機的爆發(fā),暴露出信用違約互換(CDS)在合約開發(fā)、交易、監(jiān)管等方面存在的問題,這也為我國CRM市場的發(fā)展提出了一定的借鑒意義。但隨著我國債券市場的發(fā)展,相關(guān)信息披露的完善,CRM的定價方法與模型會更加豐富,定價準(zhǔn)確性也會不斷提高。
[Abstract]:Since 2005, with the strong support of national policies, China's credit bond market has developed rapidly, its market size has ranked first in Asia, at the same time. The risk structure of China's bond market has also become the risk structure of the coexistence of interest rate risk and credit risk. October 29th 2010. The introduction of the credit risk mitigation tool (CRM) makes up for the blank in the credit derivative market in China and enriches the methods for market participants to manage the credit risk. It is of great significance to the stability and development of our financial market. As a market-oriented credit derivative, the perfection and accuracy of pricing methods will directly affect the development of CRM market, compared with the financial markets in developed countries. China's bond market started late, credit transfer information, default probability information, recovery information and other information related to the bond market disclosure is not perfect. Therefore, the risk-neutral pricing model based on bond market price is more suitable for CRM products in China than the real world pricing model based on historical information disclosure. On the basis of the exhibition. The parameter data in the pricing model are made available in the bond market of our country, and the empirical analysis of the risk neutral pricing model is carried out by using the relevant data of 9 published CRMW. Through the empirical results, we can find that using this model to price CRM in China has a certain effectiveness, and under the same risk-free interest rate, with the increase of the recovery rate. The default probability of the reference bond will also increase, but the change of the recovery rate has little effect on the CRM price, which to some extent makes up for the lack of the real data of the bond recovery rate in our bond market. As a "China version" of the CRM market is still in its infancy, in 2008, the outbreak of the financial crisis, exposed the credit default swaps (CDSs) in the development of contracts, transactions. Supervision and other aspects of the problems, which also provide a certain reference for the development of China's CRM market, but with the development of China's bond market, the improvement of information disclosure. CRM pricing methods and models will be more abundant, pricing accuracy will continue to improve.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.5

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