發(fā)布時(shí)間：2018-01-08 14:03

  本文關(guān)鍵詞：信用風(fēng)險(xiǎn)緩釋工具定價(jià)理論與實(shí)證研究　出處：《天津財(cái)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(xiǎn)緩釋工具 定價(jià) 風(fēng)險(xiǎn)中性 Hull-White模型

【摘要】：2005年以來,隨著國(guó)家政策的大力支持,我國(guó)的信用類債券市場(chǎng)迅速發(fā)展,其市場(chǎng)規(guī)模已居于亞洲首位,與此同時(shí),我國(guó)債券市場(chǎng)的風(fēng)險(xiǎn)結(jié)構(gòu)也變成利率風(fēng)險(xiǎn)與信用風(fēng)險(xiǎn)并存的風(fēng)險(xiǎn)結(jié)構(gòu)。2010年10月29日,信用風(fēng)險(xiǎn)緩釋工具(CRM)的推出彌補(bǔ)了我國(guó)信用衍生產(chǎn)品市場(chǎng)的空白,豐富了市場(chǎng)參與者管理信用風(fēng)險(xiǎn)的方法,對(duì)我國(guó)金融市場(chǎng)的穩(wěn)定與發(fā)展具有極其重要的意義。 作為一個(gè)市場(chǎng)化的信用衍生產(chǎn)品,CRM的定價(jià)方法的完善性和準(zhǔn)確性將直接影響CRM市場(chǎng)的發(fā)展。相對(duì)于發(fā)達(dá)國(guó)家的金融市場(chǎng),我國(guó)的債券市場(chǎng)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(chǎng)相關(guān)的信息披露并不完善,因此采用基于債券市場(chǎng)價(jià)格的風(fēng)險(xiǎn)中性定價(jià)模型比基于歷史信息披露的真實(shí)世界定價(jià)模型更加適合于我國(guó)的CRM產(chǎn)品。在將Hull-White模型進(jìn)行擴(kuò)展的基礎(chǔ)上,使定價(jià)模型中的參數(shù)數(shù)據(jù)在我國(guó)債券市場(chǎng)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(duì)推導(dǎo)的風(fēng)險(xiǎn)中性定價(jià)模型進(jìn)行實(shí)證分析,通過實(shí)證結(jié)果可發(fā)現(xiàn)利用該模型對(duì)我國(guó)的CRM進(jìn)行定價(jià)具有一定的有效性,并且在采用相同無風(fēng)險(xiǎn)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(huì)提高,但是回收率的變化對(duì)CRM價(jià)格的影響卻并不明顯,這在一定程度上彌補(bǔ)了我國(guó)債券市場(chǎng)缺乏債券回收率的真實(shí)數(shù)據(jù)的不足。 作為“中國(guó)版”的CDS,CRM市場(chǎng)仍處于起步階段,2008年金融危機(jī)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(guó)CRM市場(chǎng)的發(fā)展提出了一定的借鑒意義。但隨著我國(guó)債券市場(chǎng)的發(fā)展,相關(guān)信息披露的完善,CRM的定價(jià)方法與模型會(huì)更加豐富,定價(jià)準(zhǔn)確性也會(huì)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(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.5

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