本文選題：信用違約互換 + KMV模型　； 參考：《南京大學(xué)》2017年碩士論文

【摘要】：近年來,隨著不良貸款的增多和債市違約風(fēng)險(xiǎn)的逐漸暴露,國(guó)內(nèi)金融機(jī)構(gòu)面臨著愈加劇烈的信用風(fēng)險(xiǎn)挑戰(zhàn)。為有效緩釋市場(chǎng)信用風(fēng)險(xiǎn),豐富信用風(fēng)險(xiǎn)管理工具,中國(guó)交易商協(xié)會(huì)于2016年9月正式推出了信用違約互換業(yè)務(wù)。信用違約互換是如今全球市場(chǎng)中交易最廣泛的信用衍生產(chǎn)品,能夠有效分離和轉(zhuǎn)移信用風(fēng)險(xiǎn)。在業(yè)務(wù)發(fā)展初期,建立適用于國(guó)內(nèi)市場(chǎng)的信用違約互換定價(jià)模型至關(guān)重要。當(dāng)前學(xué)術(shù)界關(guān)于信用違約互換定價(jià)的主流模型可分為結(jié)構(gòu)化模型和簡(jiǎn)約化模型。結(jié)構(gòu)化模型認(rèn)為公司自身資本結(jié)構(gòu)和財(cái)務(wù)狀況的惡化是導(dǎo)致違約事件發(fā)生的根本原因,并將公司股權(quán)看作一個(gè)標(biāo)的為公司資產(chǎn),行權(quán)價(jià)格為公司負(fù)債水平的歐式看漲期權(quán),進(jìn)而可以通過B-S期權(quán)定價(jià)模型估算出公司的預(yù)期違約概率;而簡(jiǎn)約化模型則假設(shè)違約事件發(fā)生的概率為外生,其違約強(qiáng)度可通過外部信息獲得。本文首先結(jié)合中國(guó)債市違約事件發(fā)生的本質(zhì)原因,對(duì)結(jié)構(gòu)化模型和簡(jiǎn)約化模型的理論原理及所需數(shù)據(jù)的可獲得性進(jìn)行對(duì)比,得出結(jié)論認(rèn)為運(yùn)用結(jié)構(gòu)化對(duì)信用違約互換產(chǎn)品進(jìn)行定價(jià)更適用于國(guó)內(nèi)市場(chǎng)環(huán)境。同時(shí)考慮模型的可操作性,選擇KMV模型作為本文的理論定價(jià)模型。隨后根據(jù)國(guó)內(nèi)金融市場(chǎng)特征以及信用風(fēng)險(xiǎn)緩釋工具的付息規(guī)則等對(duì)KMV模型部分參數(shù)的估計(jì)方法以及信用違約互換價(jià)差的計(jì)算公式進(jìn)行修正。在實(shí)證部分,由于國(guó)內(nèi)信用違約互換產(chǎn)品交易活躍度低導(dǎo)致相應(yīng)價(jià)格數(shù)據(jù)獲取的難度偏大,本文選取信用風(fēng)險(xiǎn)緩釋憑證作為替代研究對(duì)象,首先探究了影響其價(jià)格變動(dòng)的主要因素,并將一段連續(xù)時(shí)間內(nèi)通過修正后定價(jià)模型估算出的理論價(jià)格與CBIC公布的每日?qǐng)?bào)價(jià)數(shù)據(jù)趨勢(shì)進(jìn)行對(duì)比。此外還選擇了 3只曾發(fā)生實(shí)質(zhì)違約的債券,研究違約事件發(fā)生前一段時(shí)間內(nèi)債券發(fā)行人預(yù)期違約概率的變化趨勢(shì)。得出結(jié)論認(rèn)為:(1)修正后的信用違約互換定價(jià)模型在對(duì)于剩余期限較長(zhǎng)的CRMW產(chǎn)品定價(jià)方面的適用性較好,但其對(duì)臨近到日的CRMW價(jià)格估算可能存在偏差;(2)對(duì)于剩余期限較短的CRMW而言,剩余期限是影響其價(jià)格變動(dòng)的重要因素;(3)修正后的KMV模型能夠較好地識(shí)別債券違約事件的發(fā)生,但對(duì)債券評(píng)級(jí)下調(diào)事件的識(shí)別能力一般。
[Abstract]:In recent years, with the increase of non-performing loans and the exposure of default risk, domestic financial institutions are facing more and more severe credit risk challenges. In order to effectively mitigate the market credit risk and enrich the credit risk management tools, the China Dealers Association officially launched the credit default swap business in September 2016. Credit default swaps (CDS) are the most widely traded credit derivatives in the global market, which can effectively separate and transfer credit risk. In the early stage of business development, it is very important to establish a credit default swap pricing model suitable for domestic market. The current mainstream model of credit default swap pricing can be divided into structured model and simplified model. The structured model holds that the deterioration of the company's capital structure and financial situation is the fundamental cause of the default, and regards the company's equity as a European call option whose target is the company's assets and the exercise price is the level of the company's liabilities. Furthermore, the expected default probability can be estimated by B-S option pricing model, while the reduced model assumes that the probability of default event is exogenous, and the default intensity can be obtained by external information. Based on the essential reasons of default events in China's bond market, this paper compares the theory principle of structured model and simplified model and the availability of required data. The conclusion is that structured pricing of credit default swaps is more suitable for domestic market environment. At the same time, considering the maneuverability of the model, the KMV model is chosen as the theoretical pricing model. Then, according to the characteristics of domestic financial market and the rules of interest payment of credit risk mitigation tools, the estimation method of KMV model parameters and the formula for calculating the spread of credit default swaps are revised. In the empirical part, due to the low transaction activity of domestic credit default swap products, it is difficult to obtain the corresponding price data. Firstly, the main factors affecting the price change of CBIC are explored, and the theoretical price estimated by the modified pricing model in a continuous period is compared with the trend of daily quotation data published by CBIC. In addition, three bonds with material default were selected to study the trend of expected default probability of bond issuers in the period before default. The conclusions are as follows: (1) the modified credit default swap pricing model is more suitable for CRMW products with longer remaining term. However, there may be some deviation in the price estimation of CRMW near to Japan; (2) for CRMW with short residual period, the residual period is an important factor affecting the price change of CRMW; (3) the modified KMV model can better identify the occurrence of bond default events. But the ability to identify bond downgrades is mediocre.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F224;F832.51
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本文編號(hào)：2072405