本文選題：信用違約互換 + 結(jié)構(gòu)化模型��； 參考：《安徽財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：自美國(guó)2007年8月爆發(fā)的次級(jí)貸款債券危機(jī)以來(lái),信用風(fēng)險(xiǎn)的集中爆發(fā)嚴(yán)重影響了經(jīng)濟(jì)和金融穩(wěn)定。因此對(duì)于如何有效管理世界各國(guó)金融機(jī)構(gòu)所面臨的信用風(fēng)險(xiǎn),成為一項(xiàng)難題。在全球信用危機(jī)背景下產(chǎn)生的信用衍生品成為了大家關(guān)注的焦點(diǎn),對(duì)于金融市場(chǎng)中出現(xiàn)的信用風(fēng)險(xiǎn)來(lái)說(shuō)是必不可少的有效管理工具。而信用違約互換作為信用衍生產(chǎn)品之中最主要且最快速發(fā)展的一種,是信用風(fēng)險(xiǎn)管理的主流工具。對(duì)信用違約互換定價(jià)進(jìn)行研究是其他信用衍生產(chǎn)品定價(jià)研究的基礎(chǔ)。發(fā)展信用衍生品、有效管理各種信用風(fēng)險(xiǎn)已經(jīng)成為當(dāng)前國(guó)內(nèi)外理論界和實(shí)際金融部門研究的重點(diǎn)。 本文第一章首先簡(jiǎn)單介紹了信用衍生品的種類、主要構(gòu)成要素、在次貸危機(jī)中的作用評(píng)價(jià)以及風(fēng)險(xiǎn)類型,并對(duì)信用衍生品定價(jià)理論的發(fā)展歷史進(jìn)行相關(guān)回顧以及大概的介紹。第二章主要介紹了依據(jù)兩種定價(jià)方法而得到的信用違約互換定價(jià)的兩種模型：結(jié)構(gòu)化模型和簡(jiǎn)化模型。同時(shí)對(duì)信用違約互換通過(guò)舉例進(jìn)行了簡(jiǎn)單介紹,并在一定的假設(shè)下得到信用違約互換價(jià)格表達(dá)式,分析了影響信用違約互換價(jià)格的主要因素。第三章以KMV模型和二叉樹模型為基礎(chǔ),對(duì)公司債券定價(jià)進(jìn)行了實(shí)證研究,另外還建立了標(biāo)準(zhǔn)信用違約互換定價(jià)模型并對(duì)其在公司債定價(jià)的適用性進(jìn)行研究。將上述模型應(yīng)用于信用違約互換定價(jià),結(jié)果表明這兩種方法都適用于我國(guó)信用違約互換定價(jià)。第四章從美國(guó)次貸危機(jī)的實(shí)踐出發(fā),考慮了參與者行為對(duì)信用衍生品定價(jià)的影響。首先研究企業(yè)的內(nèi)生違約機(jī)制,通過(guò)最大化證券價(jià)值來(lái)內(nèi)生決定最優(yōu)違約門檻,并通過(guò)引入跳躍成分構(gòu)建模型來(lái)確定最優(yōu)違約門檻值；其次在不完全信息的框架下,以結(jié)構(gòu)模型為基礎(chǔ)構(gòu)建了一個(gè)綜合模型,分析投資者策略行為、道德風(fēng)險(xiǎn)和逆向選擇行為對(duì)信用衍生品定價(jià)的影響。
[Abstract]:Since the subprime bond crisis broke out in August 2007, the credit risk concentration has seriously affected the economic and financial stability. Therefore, how to effectively manage the credit risk faced by financial institutions all over the world has become a difficult problem. Under the background of the global credit crisis, credit derivatives have become the focus of attention, which is an indispensable effective management tool for the credit risk in the financial market. As one of the most important and rapidly developing credit derivative products, credit default swap is the mainstream tool of credit risk management. The study of credit default swap pricing is the basis of other credit derivatives pricing research. The development of credit derivatives and the effective management of various credit risks have become the focus of theoretical and practical research at home and abroad. The first chapter briefly introduces the types of credit derivatives, the main elements of credit derivatives, the role of evaluation and risk types in the subprime mortgage crisis, and reviews the history of the pricing theory of credit derivatives and gives a general introduction. The second chapter mainly introduces two models of credit default swap pricing based on two pricing methods: structured model and simplified model. At the same time, the paper gives a brief introduction to credit default swap through examples, and obtains the expression of credit default swap price under certain assumptions, and analyzes the main factors that affect the credit default swap price. In chapter 3, based on KMV model and binary tree model, the paper makes an empirical study on corporate bond pricing, and establishes a standard credit default swap pricing model and studies its applicability in corporate bond pricing. The above models are applied to the pricing of credit default swaps. The results show that the two methods are applicable to the pricing of credit default swaps in China. Chapter four considers the influence of participant behavior on credit derivatives pricing from the practice of the subprime mortgage crisis in the United States. Firstly, the paper studies the endogenous default mechanism of enterprises, determines the optimal threshold of default by maximizing the value of securities, and establishes the optimal threshold of default by introducing jump components. Secondly, under the framework of incomplete information, the optimal threshold of default is determined. Based on the structural model, a comprehensive model is constructed to analyze the influence of investors' strategic behavior, moral hazard and adverse selection behavior on the pricing of credit derivatives.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5;F224

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