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  本文選題：信用衍生品 + 籃式信用違約互換��； 參考：《大連理工大學(xué)》2013年碩士論文

【摘要】：信用違約互換是金融機構(gòu)進(jìn)行信用風(fēng)險管理的表外工具,是信用衍生品種交易量最大的產(chǎn)品。信用違約互換定價模型也成為了國內(nèi)外學(xué)者研究的焦點。2010年中國版信用違約互換-信用風(fēng)險緩釋工具(CRM)推出以來發(fā)展緩慢,定價模型的不完善成為CRM市場可持續(xù)發(fā)展的瓶頸之一。 籃式信用違約互換將多項資產(chǎn)作為一個組合進(jìn)行風(fēng)險管理操作,能夠有效降低風(fēng)險管理成本以及交易成本,有利于提高資產(chǎn)組合風(fēng)險管理水平,成為近期衍生品市場發(fā)展最快的信用衍生品之一。本文利用混合Copula函數(shù)擬合違約時間的聯(lián)合分布,并將混合Copula函數(shù)引入籃式信用違約互換定價公式,建立基于混合Copula的籃式信用違約互換定價模型,為籃式信用違約互換定價提供方法和工具。 本文的主要工作： (1)構(gòu)建混合Copula函數(shù),并估計混合Copula模型參數(shù)。首先用兩階段極大似然法估計單個Copula函數(shù)的參數(shù)。再基于經(jīng)驗Copula函數(shù)的最小距離法,估計混合Copula函數(shù)參數(shù),得到對違約分布尾部刻畫更精確的Copula函數(shù)模型。 (2)構(gòu)建基于混合Copula函數(shù)的籃式信用違約互換定價模型,并給出基于蒙特卡洛模擬法模擬多個資產(chǎn)違約時間的聯(lián)合分布的模擬步驟�；贑opula函數(shù)的隨機數(shù)模擬方法,在已知Copula函數(shù)參數(shù)的情形下,模擬N個未來違約時間的可能情況,進(jìn)而得到籃式信用違約互換第k次違約時間的數(shù)值解。 本文的主要特色和創(chuàng)新： (1)構(gòu)建混合Copula度量資產(chǎn)間非線性相依結(jié)構(gòu)。本文構(gòu)建一個基于三類阿基米德Copula的線性組合函數(shù),即混合Copula函數(shù)。本文基于三種常用阿基米德Copula構(gòu)建一種計算相對簡單,分布形態(tài)靈活的混合Copula函數(shù),并用混合Copula函數(shù)度量多個資產(chǎn)的違約相關(guān)性,不僅避免線性相關(guān)系數(shù)不能度量非線性相關(guān)的缺陷,而且避免了采用橢圓Copula函數(shù)對尾部相關(guān)刻畫不足的問題。 (2)將混合Copula參數(shù)估計分為三個步驟,運用最小距離法選擇與經(jīng)驗Copula擬合度最好的混合Copula,降低直接估計多個參數(shù)的難度。
[Abstract]:Credit default swaps (CDS) are off-balance sheet instruments for credit risk management in financial institutions, and they are the products with the largest trading volume of credit derivatives. Credit default swap pricing model has also become the focus of scholars at home and abroad. China version of credit default swaps-credit risk mitigation tool (CRM) has been slow to develop since its launch in 2010. The imperfection of pricing model has become one of the bottlenecks in the sustainable development of CRM market. Basket credit default swaps can effectively reduce the risk management cost and transaction cost and improve the risk management level of asset portfolio by using multiple assets as a portfolio to carry out risk management operations. It has become one of the fastest growing credit derivatives in the recent derivatives market. In this paper, the mixed Copula function is used to fit the joint distribution of default time, and the hybrid Copula function is introduced into the basket credit default swap pricing formula to establish the basket credit default swap pricing model based on mixed Copula. To provide the method and the tool for the basket type credit default swap pricing. The main work of this paper is as follows: (1) the mixed Copula function is constructed and the parameters of the mixed Copula model are estimated. First, the parameters of a single Copula function are estimated by the two-stage maximum likelihood method. Then, based on the least distance method of empirical Copula function, the parameters of mixed Copula function are estimated, and a more accurate Copula function model is obtained. (2) A basket credit default swap pricing model based on mixed Copula function is constructed. The simulation steps of simulating the joint distribution of multiple asset default times based on Monte Carlo simulation method are also given. Based on the random number simulation method of Copula function, the possible cases of N future default times are simulated under the condition of known Copula function parameters, and the numerical solution of the k-th default time of basket credit default swaps is obtained. The main features and innovations of this paper are as follows: (1) constructing a mixed Copula structure to measure the nonlinear dependence between assets. In this paper, we construct a linear combination function based on three kinds of Archimedes Copula, that is, mixed Copula function. Based on three kinds of commonly used Archimedes Copula, this paper constructs a hybrid Copula function with relatively simple calculation and flexible distribution, and uses the mixed Copula function to measure the default correlation of multiple assets. Not only to avoid the defect that linear correlation coefficient can not measure nonlinear correlation, but also to avoid the problem of using elliptical Copula function to depict tail correlation. (2) the mixed Copula parameter estimation is divided into three steps. The minimum distance method is used to select the mixed Copula with the best fitting degree of empirical Copula, which reduces the difficulty of directly estimating multiple parameters.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：2057450