本文選題：信用違約風(fēng)險(xiǎn) + 隨機(jī)匯率�。� 參考：《上海師范大學(xué)》2012年碩士論文

【摘要】：近幾年，隨著金融危機(jī)的爆發(fā)，信用衍生產(chǎn)品應(yīng)運(yùn)而生，以規(guī)避市場(chǎng)中巨大的潛在風(fēng)險(xiǎn)。信用衍生產(chǎn)品的實(shí)質(zhì)是為了轉(zhuǎn)移信用風(fēng)險(xiǎn)。因此，研究并正確認(rèn)識(shí)信用風(fēng)險(xiǎn)，對(duì)穩(wěn)固整個(gè)金融體系，促使金融行業(yè)穩(wěn)定發(fā)展具有重要意義。 信用風(fēng)險(xiǎn)主要包含信用違約，信用等級(jí)下降及信用價(jià)差這三類(lèi)風(fēng)險(xiǎn)。其中，信用違約風(fēng)險(xiǎn)是學(xué)術(shù)領(lǐng)域內(nèi)研究最多的一類(lèi)信用風(fēng)險(xiǎn)。它是指交易對(duì)手（借款人）不履行合同中的義務(wù)，即不能按時(shí)定期支付擬定的本金和利息，給市場(chǎng)上的投資者（貸款人）帶來(lái)巨大的投資損失。本論文主要基于信用違約風(fēng)險(xiǎn)建立數(shù)學(xué)模型，對(duì)信用衍生產(chǎn)品進(jìn)行定價(jià)。 考慮到目前越來(lái)越多的中國(guó)中小企業(yè)選擇在美國(guó)上市融資，本文研究的信用衍生產(chǎn)品定價(jià)模型涉及到兩個(gè)市場(chǎng)：人民幣市場(chǎng)和美元市場(chǎng)。發(fā)債第三方的主要營(yíng)業(yè)范圍在國(guó)內(nèi)人民幣市場(chǎng)；同時(shí)，在國(guó)外美元市場(chǎng)進(jìn)行融資、融券。而為了轉(zhuǎn)移這部分信用風(fēng)險(xiǎn)，國(guó)外美元市場(chǎng)會(huì)發(fā)行以國(guó)內(nèi)發(fā)債方為標(biāo)的的信用衍生產(chǎn)品。在本文假設(shè)中，信用衍生產(chǎn)品的買(mǎi)方和賣(mài)方同位于國(guó)外美元市場(chǎng)，而發(fā)債第三方公司位于國(guó)內(nèi)人民幣市場(chǎng)。同時(shí)，產(chǎn)品的賣(mài)方受政府擔(dān)保，不存在違約的可能性。這樣，，投資者就面臨了匯率風(fēng)險(xiǎn)和國(guó)內(nèi)發(fā)債第三方的信用風(fēng)險(xiǎn)。 本文首先在第一章綜述了信用風(fēng)險(xiǎn)的基本概念和此論文的模型意義,并介紹了信用風(fēng)險(xiǎn)主要的研究方法和國(guó)內(nèi)外的發(fā)展歷史；第二章介紹了與信用風(fēng)險(xiǎn)相關(guān)的一些預(yù)備知識(shí)。 第三章，考慮了信用違約互換(CDS)在此模型中的定價(jià)。在隨機(jī)匯率的假設(shè)下，運(yùn)用倒向Kolmogrov方程得到了國(guó)內(nèi)債券發(fā)行第三方的違約密度函數(shù)。通過(guò)偏微分方程,建立數(shù)學(xué)模型,確定在美元市場(chǎng)上發(fā)行的CDS定價(jià)。并對(duì)獲得的結(jié)果進(jìn)行了金融意義分析。 第四章，運(yùn)用此模型，對(duì)信用關(guān)聯(lián)票據(jù)(CLN)的定價(jià)進(jìn)行了分析。運(yùn)用結(jié)構(gòu)化方法在隨機(jī)匯率的假定下，建立數(shù)學(xué)模型。通過(guò)偏微分方程確定了CLN產(chǎn)品的市場(chǎng)價(jià)格。并對(duì)不同變量給出了相關(guān)的金融分析。 第五章，考慮了在隨機(jī)匯率下，一類(lèi)改進(jìn)的關(guān)于信用關(guān)聯(lián)票據(jù)的產(chǎn)品定價(jià)。即，一份可提前贖回的債券（putable bond)與一份CDS的結(jié)合。運(yùn)用結(jié)構(gòu)化方法建立偏微分方程，確定在此類(lèi)信用衍生產(chǎn)品的市場(chǎng)定價(jià)。 第六章，結(jié)論與展望，給出了本論文還存在的不足和今后要深入研究的方向。
[Abstract]:In recent years, with the outbreak of financial crisis, credit derivatives emerged as the times require to avoid huge potential risks in the market. The essence of credit derivatives is to transfer credit risk. Therefore, it is of great significance to study and correctly understand credit risk to stabilize the whole financial system and promote the steady development of financial industry. Credit risk mainly includes three kinds of risk: credit default, credit grade decline and credit spread. Among them, credit default risk is a kind of credit risk studied most in academic field. It refers to the failure of counterparties (borrowers) to fulfill their obligations in the contract, that is, failure to pay the proposed principal and interest on time and at regular intervals, which brings huge investment losses to investors (lenders) in the market. Based on the risk of credit default, this paper establishes a mathematical model to price credit derivatives. Considering that more and more small and medium-sized enterprises in China choose to go public and raise funds in the United States, the pricing model of credit derivatives in this paper involves two markets: RMB market and US dollar market. The main business scope of the third party is in the domestic RMB market; at the same time, in the foreign dollar market for financing, margin lending. In order to transfer this part of credit risk, the foreign dollar market will issue credit derivatives with domestic issuers as the target. In this paper, the buyer and seller of credit derivatives are located in the foreign dollar market, while the third party company is located in the domestic RMB market. At the same time, the seller of the product is guaranteed by the government, there is no possibility of default. In this way, investors are faced with exchange rate risk and third party credit risk of domestic bond issuance. The first chapter summarizes the basic concept of credit risk and the significance of the model of this paper, and introduces the main research methods of credit risk and the history of development at home and abroad, and the second chapter introduces some preliminary knowledge related to credit risk. In chapter 3, we consider the pricing of credit default swaps (CDS) in this model. Under the assumption of stochastic exchange rate, the default density function of the third party of domestic bond issuance is obtained by using the backward Kolmogrov equation. Through partial differential equation, the mathematical model is established to determine the pricing of CDS issued on the dollar market. The financial significance of the obtained results is analyzed. In chapter 4, the pricing of CLN is analyzed by using this model. Under the assumption of stochastic exchange rate, a mathematical model is established by using structured method. The market price of CLN products is determined by partial differential equation. The financial analysis of different variables is given. In chapter 5, we consider a class of improved product pricing for credit related instruments at random exchange rate. That is, a redeemable bond) and a CDS. The partial differential equation is established by using structured method to determine the market pricing of such credit derivatives. In chapter 6, the conclusion and prospect are given, and the deficiency of this paper and the direction of further research are given.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F830.9

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