基于多元随机波动模型的信用风险衍生定价

发布时间：2018-05-08 13:36

本文选题：随机波动 + 衍生定价　；参考：《管理科学学报》2010年10期

【摘要】：本文将随机波动期权定价封闭解模型扩展到多资产分析框架下.在考虑Cox-Rose模型多资产模拟以及随机波动矩阵的W ishart动态过程的基础上,将风险升水引入收益率方程,并将Merton模型下的公司违约风险扩展到随机分析框架下.最后利用数值模拟技术,对多资产随机分析模型的适用性及解的稳定性进行了模拟分析.其结果表明,多元随机波动模型对违约风险随机发生条件下的公司信用过程具有较之单元确定性模型更强的解释力.利用多资产模型,有助于金融机构更深入地把握企业信用体系中资产价值和负债的动态联动关系,对金融机构的信用风险管理具有十分重要的意义.
[Abstract]:In this paper, the closed solution model of stochastic volatility option pricing is extended to the framework of multi-asset analysis. On the basis of considering the multi-asset simulation of Cox-Rose model and the W ishart dynamic process of stochastic volatility matrix, the risk rising water is introduced into the yield equation, and the corporate default risk under the Merton model is extended to the framework of stochastic analysis. Finally, the applicability and stability of the multi-asset stochastic analysis model are simulated by numerical simulation technology. The results show that the multivariate stochastic volatility model is more powerful than the unit deterministic model in explaining the corporate credit process under the condition of random occurrence of default risk. The use of multi-asset model is helpful for financial institutions to grasp the dynamic linkage between assets value and liabilities in the enterprise credit system, and it is of great significance to the credit risk management of financial institutions.
【作者单位】：中南大学商学院;长沙理工大学经济与管理学院;
【基金】：国家重大社会科学基金资助项目(08&09ZD029) 国家社科基金重点课题(08AJL003) 湖南省软科学课题资助项目(2008ZK3126) 湖南省企业管理与投资研究基地资助项目
【分类号】：F830.9;F224

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