融资租赁合同的定价与估值

发布时间：2018-04-21 03:41

本文选题：交易对手风险 + 鞅定价　；参考：《苏州大学》2015年硕士论文

【摘要】：金融危机的爆发凸显了信用在金融领域中的重要作用,也引出了信用风险的重要性与复杂性,在危机度过后,金融机构普遍一改过去仅仅对信用风险只进行简单的评估或者基础的经验分析,但是,如何正确、准确的描述并估算信用风险是个巨大的难题,于是乎,评估信用风险的真正价值成了当今金融实务界与学术界中的热门话题。而在信用风险中,如何正确评估交易对手风险,是最大难点。本文主要研究关于融资租赁金融产品的定价与估值,并考虑在合约执行中可能出现的交易对手风险。在针对信用风险建立模型的理论框架中,主要有两种模式:约化模型和结构化模型。而在实际运用中,选取哪个建立模型的具体方式,则基于实际金融产品本身的特性,并以此构成对金融衍生产品定价的基础。在本文中,将分别运用两种定价方式对带有风险的融资租赁合同进行定价与估值。同时,针对交易对手风险的定价,本文将分别考虑交易对手风险的两种典型形式,单向形式与双向形式(在合同中,常见形式为双参与方,所以一般为单向违约风险或者双向违约风险)。在双向形式的交易对手风险的情况下,我们假设主动违约是合约对手方的违约形式。而为贴近实际中的金融市场运行情况,本文设定合约具有违约金。而合约的价值,是小于合约本身的市场价值与违约金之间的差,而违约的时刻t?,将组成一个停时集合。然后假定在完全市场中,用无套利方法针对融资租赁合同进行公平定价与估值,并通过是否带有交易对手风险的产品的估值的差,定义出在实际产品定价中,交易对手风险的风险过程和风险价格。最后,介绍与融资租赁市场相关的税收政策的变革中的“营改增”政策,并分析由此对融资租赁市场带来的具体影响。
[Abstract]:The outbreak of financial crisis highlights the important role of credit in the financial field, but also leads to the importance and complexity of credit risk. Financial institutions have generally changed from a simple assessment or a basic empirical analysis of credit risk to the past, but how to correctly and accurately describe and estimate credit risk is a huge problem. Evaluating the real value of credit risk has become a hot topic in the field of financial practice and academia. In credit risk, how to evaluate counterparty risk correctly is the biggest difficulty. This paper mainly studies the pricing and valuation of financial products for financial leasing, and considers the counterparty risks that may occur in the execution of contracts. In the theoretical framework of establishing a model for credit risk, there are two main models: reduction model and structured model. In practical application, which model is chosen is based on the characteristics of the actual financial product itself and constitutes the basis for pricing financial derivative products. In this paper, we use two pricing methods to price and value the financial leasing contract with risk. At the same time, for the pricing of counterparty risk, this paper will consider two typical forms of counterparty risk, one-way form and two-way form. So generally for one-way default risk or two-way default risk. In the case of two-way counterparty risk, we assume that active default is the form of contract counterparty default. In order to be close to the actual operation of the financial market, this article establishes the contract with liquidated damages. The value of the contract is less than the difference between the market value of the contract itself and the liquidated damages. Then assume that in a complete market, a no-arbitrage approach is used for fair pricing and valuation of a financial lease contract, and is defined in the actual product pricing by the difference in the valuation of a product with counterparty risk. The risk process and price of counterparty risk. Finally, this paper introduces the reform of the tax policy related to the financial leasing market, and analyzes the specific impact on the financial leasing market.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.49

【参考文献】