变结构违约相关的BDS定价模型

发布时间：2018-01-08 14:41

本文关键词：变结构违约相关的BDS定价模型　出处：《系统工程》2014年06期 　论文类型：期刊论文

【摘要】：次贷危机爆发后CDS的定价和风险监控成为研究热点。BDS是具有多个参考资产的CDS,其最重要的问题是定义参考资产之间的违约相关性。利用Copula函数描述资产之间的相关结构具有较好的特点。提出运用变结构的Copula函数来描述违约相关性的BDS定价模型,考虑到经济形势转换对BDS定价的影响,对违约密度和违约相关性引入马尔科夫转换机制,并运用蒙特卡洛模拟进行比较分析。研究表明,变结构违约相关的BDS价格处于不带机制转换两个初始状态的BDS价格的中间。由于BDS价格与违约密度正向变动而与违约相关性反向变动,因此经济形势转换对BDS定价的影响实际上是违约密度和违约相关性综合作用的结果。
[Abstract]:After the subprime mortgage crisis, the pricing and risk monitoring of CDS has become a research hotspot. BDS is a CDS with multiple reference assets. The most important problem is to define the default correlation between reference assets. It is a good feature to use Copula function to describe the correlation structure between assets. A variable structure Copula function is proposed to describe it. The BDS pricing model of default correlation is described. Considering the influence of economic situation change on BDS pricing, the Markov transformation mechanism is introduced into default density and default correlation, and Monte Carlo simulation is used to compare and analyze. The BDS price associated with variable structure default is in the middle of BDS price with no mechanism to convert two initial states. Because BDS price and default density change positively, BDS price changes inversely with default correlation. Therefore, the effect of economic situation change on BDS pricing is actually the result of the combination of default density and default correlation.
【作者单位】：中南财经政法大学金融学院;
【基金】：国家自然科学基金资助项目(71101154)
【分类号】：F830.9
【正文快照】： 1引言信用违约互换(Credit Default Swap,CDS)是目前应用最为广泛的信用衍生产品。美国次贷危机演化为全球金融危机后,CDS等信用衍生品成为研究热点。2010年11月,中国版的CDS——信用风险缓释工具(Credit RiskMitigation,CRM)在银行间市场推出。CRM在我国商业银行信用风险管理

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