本文關(guān)鍵詞：債務(wù)抵押債券（CDO）定價(jià)模型及其仿真研究　出處：《中南大學(xué)》2012年博士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 債務(wù)抵押債券(CDO) 信用衍生工具 金融資產(chǎn)定價(jià) 蒙特卡洛模擬 模擬仿真

【摘要】：債務(wù)抵押債券(Collateralized Debt Obligation, CDO)是近年來(lái)國(guó)際金融市場(chǎng)上資產(chǎn)證券化領(lǐng)域重要的創(chuàng)新產(chǎn)品,頗受市場(chǎng)關(guān)注。作為近十年來(lái)增長(zhǎng)速度最快的金融產(chǎn)品之一,債務(wù)抵押債券的規(guī)模擴(kuò)張對(duì)國(guó)際金融市場(chǎng)形成了很大影響力。債務(wù)抵押債券是以抵押債務(wù)信用為基礎(chǔ),選擇債券貸款等金融資產(chǎn)組建資產(chǎn)池,并重新分割投資回報(bào)和風(fēng)險(xiǎn),通過(guò)資產(chǎn)證券化技術(shù)設(shè)計(jì)出既可滿(mǎn)足不同投資者需求又能改善銀行資產(chǎn)風(fēng)險(xiǎn)收益狀況的創(chuàng)新性衍生證券成品。債務(wù)抵押債券產(chǎn)品標(biāo)的資產(chǎn)不僅可以是銀行貸款、債券,還包括ABS、MBS等,隨著債務(wù)抵押債券產(chǎn)品的進(jìn)一步發(fā)展,目前,還出現(xiàn)了將資產(chǎn)證券化技術(shù)與債務(wù)抵押債券產(chǎn)品相結(jié)合的新型信用衍生工具CDO。 2008年美國(guó)爆發(fā)次貸危機(jī),債務(wù)抵押債券的風(fēng)險(xiǎn)效應(yīng)被放大,債務(wù)抵押債券的金融風(fēng)險(xiǎn)防范問(wèn)題引發(fā)深層思考。而我國(guó)的債務(wù)抵押債券研究與實(shí)踐尚處于探索階段,債務(wù)抵押債券的分級(jí)機(jī)制和多變的種類(lèi)在我國(guó)的金融改革進(jìn)程中亦備具廣闊的應(yīng)用前景。我國(guó)各大商業(yè)銀行大都在積極設(shè)計(jì)債務(wù)抵押債券金融產(chǎn)品,試圖對(duì)數(shù)目龐大的銀行不良貸款進(jìn)行有效處理。本文根據(jù)債務(wù)抵押債券產(chǎn)品的金融特性,對(duì)其定價(jià)模型進(jìn)行系統(tǒng)性分析、構(gòu)建與模擬,且對(duì)其信用風(fēng)險(xiǎn)進(jìn)行識(shí)別與防范研究；同時(shí),利用債務(wù)抵押債券對(duì)金融衍生工具及避險(xiǎn)標(biāo)的資產(chǎn)價(jià)格、風(fēng)險(xiǎn)特性以及兩者的波動(dòng)性匹配情況進(jìn)行模擬仿真分析,以尋求合適的衍生工具套頭率及其相關(guān)的避險(xiǎn)標(biāo)的資產(chǎn)；另外,參照已有的歷史數(shù)據(jù)和價(jià)格行為資料,在對(duì)債務(wù)抵押債券進(jìn)行定價(jià)模擬仿真的同時(shí),實(shí)證考察債務(wù)抵押債券的歷史經(jīng)驗(yàn)數(shù)據(jù),以測(cè)度債務(wù)抵押債券定價(jià)模型的可行性與可靠性。 本文的主要研究路線與結(jié)論如下： 本研究首先通過(guò)對(duì)債務(wù)抵押債券產(chǎn)品市場(chǎng)的發(fā)展現(xiàn)狀、市場(chǎng)結(jié)構(gòu)、市場(chǎng)功效等進(jìn)行較全面的分析,以把握債務(wù)抵押債券的市場(chǎng)特性與發(fā)展趨勢(shì),為債務(wù)抵押債券產(chǎn)品的定價(jià)奠定理論和實(shí)踐基礎(chǔ)。 然后,本文圍繞債務(wù)抵押債券產(chǎn)品的定價(jià)模型和定價(jià)機(jī)理展開(kāi)深入研究。從模型假設(shè)條件的提出、模型求解的推導(dǎo)以及仿真技術(shù)邊界條件和初始狀態(tài)值的確定等方面入手,引入非對(duì)稱(chēng)性GARCH效應(yīng)來(lái)構(gòu)建債務(wù)抵押債券定價(jià)模型。主要工作有：(1)估計(jì)我國(guó)利率水平上資產(chǎn)市場(chǎng)的正向非對(duì)稱(chēng)效應(yīng)參數(shù)；(2)確定模型初始狀態(tài)值(風(fēng)險(xiǎn)識(shí)別和期限結(jié)構(gòu)分析),運(yùn)用DTSM模型產(chǎn)生模擬數(shù)據(jù)序列而構(gòu)建的算法模型；(3)通過(guò)初始狀態(tài)值和數(shù)據(jù)生成算法,模擬利率上限的的跨期組合,從而得到CDO的基礎(chǔ)資產(chǎn)---利率變化的波動(dòng)范圍；(4)對(duì)shibor產(chǎn)品價(jià)格序列的統(tǒng)計(jì)特性特別是波動(dòng)特性和期限結(jié)構(gòu)進(jìn)行分析,并借助前述分析的QTMS模型對(duì)我國(guó)債務(wù)抵押債券產(chǎn)品市場(chǎng)定價(jià)的邊界條件和初始條件進(jìn)行統(tǒng)計(jì)描述；(5)利用Eviews多元GARCH預(yù)測(cè)技術(shù)對(duì)shibor的未來(lái)價(jià)格行為進(jìn)行預(yù)測(cè),從而確保我國(guó)債務(wù)抵押債券產(chǎn)品市場(chǎng)的模擬初始輸入值的有效性；(6)利用我國(guó)利率市場(chǎng)數(shù)據(jù),對(duì)CDO在我國(guó)市場(chǎng)的數(shù)據(jù)進(jìn)行分析：通過(guò)對(duì)基礎(chǔ)資產(chǎn)(shibor)價(jià)格行為分析,利用Gauss-Coupla模型獲得我國(guó)債務(wù)抵押債券產(chǎn)品市場(chǎng)定價(jià)的邊界條件和初始狀態(tài)輸入值,再運(yùn)用正向非對(duì)稱(chēng)效應(yīng)定價(jià)模型以及蒙特卡洛模擬技術(shù)對(duì)我國(guó)CDO產(chǎn)品的價(jià)格過(guò)程進(jìn)行模擬仿真,測(cè)度模擬仿真方法的適用性和可行性。 最后,論文以房地產(chǎn)抵押貸款的合成CDO金融產(chǎn)品為例,分析了債務(wù)抵押債券產(chǎn)品的風(fēng)險(xiǎn)特征,并在此基礎(chǔ)上,運(yùn)用正向非對(duì)稱(chēng)效應(yīng)定價(jià)核函數(shù)和蒙特卡洛模型對(duì)該金融產(chǎn)品價(jià)格進(jìn)行仿真。研究結(jié)果表明：債務(wù)抵押債券股權(quán)和夾層部分是杠桿作用的底層,一個(gè)夾層部分的風(fēng)險(xiǎn)和杠桿作用取決于其信用的強(qiáng)化程度,而股權(quán)部分的風(fēng)險(xiǎn)轉(zhuǎn)移是有限的；抵押債券和其他創(chuàng)新信貸產(chǎn)品是CDO的關(guān)聯(lián)交易；投資者如果能正確利用違約相關(guān)性,就可以創(chuàng)造交易機(jī)會(huì),進(jìn)行相關(guān)的風(fēng)險(xiǎn)管理,并據(jù)此實(shí)施商業(yè)周期的衡量。 本研究主要采用了比較研究、演繹建模、模擬仿真及實(shí)證統(tǒng)計(jì)推斷等研究方法,以模擬仿真技術(shù),對(duì)債務(wù)抵押債券產(chǎn)品在現(xiàn)有定價(jià)理論基礎(chǔ)上進(jìn)行定價(jià)模擬。并結(jié)合我國(guó)債務(wù)抵押債券產(chǎn)品市場(chǎng)的歷史文化傳統(tǒng),在債務(wù)抵押債券產(chǎn)品定價(jià)的模擬分布函數(shù)中首次引入行為隨機(jī)折現(xiàn)因子變量,對(duì)模擬定價(jià)核函數(shù)的模擬效果進(jìn)行評(píng)價(jià),以期為債務(wù)抵押債券產(chǎn)品在我國(guó)證券市場(chǎng)的應(yīng)用提供理論和實(shí)踐上的指導(dǎo)。
[Abstract]:Debt - backed securities ( CDOs ) is an important innovative product in the field of asset securitization in the international financial market in recent years . As one of the fastest - growing financial products in recent years , the expansion of debt - backed securities has exerted great influence on international financial markets . The assets of debt - backed securities can not only be bank loans , bonds , but also ABS , MBS , etc . This paper makes a systematic analysis , construction and simulation of the pricing model of the debt - backed securities based on the financial characteristics of the debt - backed securities . In addition , based on the existing historical data and price - behavior data , the paper makes an empirical study on the historical empirical data of the debt - backed securities to measure the feasibility and reliability of the debt - backed securities pricing model . The main research routes and conclusions are as follows : First of all , through the analysis of the present situation , market structure and market efficiency of the debt - backed securities market , the market characteristics and development trend of the debt - backed securities are grasped to lay a theoretical and practical basis for the pricing of debt - backed securities products . This paper studies the pricing model and the pricing mechanism of the debt mortgage bond products . The paper introduces the pricing model of the debt mortgage bond products by introducing the model assumption conditions , the derivation of the model solution and the determination of the boundary condition and initial state value of the simulation technology . Finally , taking the CDO financial product as an example , the paper analyzes the risk characteristics of the debt - backed securities product , and simulates the price of the financial product by using the forward asymmetric effect pricing kernel function and the Monte Carlo model . The research results show that the risk and leverage of the equity part depend on the degree of credit enhancement , and the risk transfer of the equity part is limited ; the risk and leverage of the equity part is limited ; and if the investor can use the default correlation correctly , the transaction opportunity can be created , the relevant risk management is carried out , and the measurement of the business cycle can be carried out accordingly . This paper mainly adopts the research methods such as comparative research , deduction modeling , simulation simulation and empirical statistical inference . Based on the traditional pricing theory , the paper makes a pricing simulation on the existing pricing theory based on the simulation technology and the historical and cultural tradition of our debt mortgage bond product market . The simulation effect of the simulated pricing kernel function is evaluated in order to provide theoretical and practical guidance for the application of the debt mortgage bond product in our security market .

【學(xué)位授予單位】：中南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F830.91

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