本文選題：信用違約互換 + 影響因素��； 參考：《暨南大學(xué)》2013年碩士論文

【摘要】：信用違約互換（Credit Default Swap，CDS）是一種規(guī)避公司信用風(fēng)險(xiǎn)的保險(xiǎn)合同，經(jīng)過(guò)20年的發(fā)展，它已經(jīng)成為信用衍生品市場(chǎng)上交易量最大的衍生品。CDS不僅能幫助銀行規(guī)避信用風(fēng)險(xiǎn)，還能為欲發(fā)行債券的公司提供保障。目前，我國(guó)已推出主要在銀行間交易的信用風(fēng)險(xiǎn)緩釋合約（Credit Risk MitigationAgreement）即中國(guó)版的CDS。因此，，研究CDS價(jià)格的影響因素，建立規(guī)范、合理的CDS定價(jià)體系對(duì)我國(guó)CDS市場(chǎng)的發(fā)展至關(guān)重要。本文主要從信用風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)三個(gè)方面研究了CDS價(jià)格的影響因素。 文章首先介紹了CDS的相關(guān)概念并對(duì)國(guó)內(nèi)外關(guān)于CDS價(jià)格影響因素的文獻(xiàn)進(jìn)行了回顧，隨后闡述了CDS的產(chǎn)生和發(fā)展?fàn)顩r，以及本文研究的理論基礎(chǔ)。接下來(lái)，本文用多元回歸模型分析了信用違約互換價(jià)格的影響因素，得出了與理論相一致的結(jié)果，即買賣價(jià)差越大，CDS流動(dòng)性越低，其價(jià)格越高；參考實(shí)體的信用等級(jí)越高，CDS價(jià)格越低；無(wú)風(fēng)險(xiǎn)利率越高，CDS價(jià)格越低。由于近年來(lái)，流動(dòng)性溢價(jià)被越來(lái)越多的學(xué)者關(guān)注，最后本文用Fama-MacBeth回歸結(jié)合廣義最小二乘法對(duì)CDS價(jià)格及其買賣價(jià)差之間的關(guān)系進(jìn)行實(shí)證分析，得出結(jié)論并對(duì)CDS在我國(guó)的發(fā)展提出相關(guān)政策建議。
[Abstract]:Credit default swap Credit default SwapSs (CDS) is an insurance contract to avoid the credit risk of a company. After 20 years of development, it has become the most traded derivatives in the credit derivatives market. CDS can not only help banks avoid credit risk. It also provides protection for companies that want to issue bonds. At present, China has launched the Credit risk Mitigation Agreement (CDSs), which is mainly traded between banks. Therefore, it is very important for the development of CDS market to study the influencing factors of CDS price and establish a standardized and reasonable CDS pricing system. This paper studies the influencing factors of CDS price from three aspects: credit risk, liquidity risk and interest rate risk. This paper first introduces the relevant concepts of CDS and reviews the literature on the factors affecting the price of CDS at home and abroad. Then it expounds the emergence and development of CDS and the theoretical basis of this study. Then, this paper analyzes the influencing factors of credit default swap price by using the multiple regression model, and obtains the result consistent with the theory, that is, the bigger the price difference is, the lower the liquidity of CDS is, the higher the price is. The higher the credit rating of the reference entity, the lower the CDS price; the higher the risk-free interest rate, the lower the CDS price. In recent years, more and more scholars pay more and more attention to liquidity premium. Finally, the relationship between CDS price and its spread is analyzed empirically by Fama-MacBeth regression and generalized least square method. Draw a conclusion and the development of CDS in China put forward relevant policy recommendations.
【學(xué)位授予單位】：暨南大學(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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本文編號(hào)：2018738