非理性预期对信用衍生产品定价的影响——美国次贷危机的启示

发布时间：2019-08-05 14:14

【摘要】：现代经典金融理论和精妙优美的数学模型难以解释和预言2000-2007年美国房地产泡沫和信用危机.次贷危机很大程度上是大量投资者行为的结果,它反映了投资者对未来经济走势的预期.而以往的信用风险模型恰恰忽视了人的因素.通过将行为金融中的主观非理性预期引入信用风险的结构化模型,建立了内生的动态均衡模型.研究发现,投资者的不同预期造成他们处于不同的交易地位,产生相对财富转移.相对财富转移扩大了金融资产的波动率,导致了金融资产定价偏差;同时也给对冲操作带来了风险.在投资者的"美好"预期无法持续时,可能诱发金融危机.因此引导投资者理性预期是减少金融市场动荡的有效手段,研究对我国金融体系健康稳定发展具有一定借鉴作用.
[Abstract]:Modern classical financial theory and exquisite mathematical model are difficult to explain and predict the American real estate bubble and credit crisis from 2000 to 2007. The subprime mortgage crisis is to a large extent the result of a large number of investors' behavior, which reflects investors' expectations of the future economic trend. In the past, the credit risk model just ignored the human factor. By introducing the subjective irrational expectation in behavioral finance into the structured model of credit risk, an endogenic dynamic equilibrium model is established. The study found that different expectations of investors cause them to be in different trading positions, resulting in relative wealth transfer. Relative wealth transfer expands the volatility of financial assets, leads to the deviation of financial asset pricing, and also brings risks to hedge operations. A financial crisis may be triggered when investors'"good" expectations are unsustainable. Therefore, guiding investors' rational expectation is an effective means to reduce the turmoil of financial market, and the research can be used as a reference for the healthy and stable development of China's financial system.
【作者单位】：华中科技大学管理学院;
【基金】：国家自然科学基金资助项目(70871049) 教育部“国际金融危机应对研究”应急课题资助项目(2009JYJR021) 教育部高校博士点基金资助项目(20070487034)
【分类号】：F224;F837.12

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