信用风险缓释工具定价理论与实证研究

发布时间：2018-01-08 14:03

本文关键词：信用风险缓释工具定价理论与实证研究　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：2005年以来,随着国家政策的大力支持,我国的信用类债券市场迅速发展,其市场规模已居于亚洲首位,与此同时,我国债券市场的风险结构也变成利率风险与信用风险并存的风险结构。2010年10月29日,信用风险缓释工具(CRM)的推出弥补了我国信用衍生产品市场的空白,丰富了市场参与者管理信用风险的方法,对我国金融市场的稳定与发展具有极其重要的意义。作为一个市场化的信用衍生产品,CRM的定价方法的完善性和准确性将直接影响CRM市场的发展。相对于发达国家的金融市场,我国的债券市场起步较晚,信用转移信息、违约概率信息、回收率信息等与债券市场相关的信息披露并不完善,因此采用基于债券市场价格的风险中性定价模型比基于历史信息披露的真实世界定价模型更加适合于我国的CRM产品。在将Hull-White模型进行扩展的基础上,使定价模型中的参数数据在我国债券市场中具有可获得性,并利用已发行的9只CRMW的相关数据对推导的风险中性定价模型进行实证分析,通过实证结果可发现利用该模型对我国的CRM进行定价具有一定的有效性,并且在采用相同无风险利率的情况下,随着回收率的提高,参考债券的违约概率也会提高,但是回收率的变化对CRM价格的影响却并不明显,这在一定程度上弥补了我国债券市场缺乏债券回收率的真实数据的不足。作为“中国版”的CDS,CRM市场仍处于起步阶段,2008年金融危机的爆发,暴露出信用违约互换(CDS)在合约开发、交易、监管等方面存在的问题,这也为我国CRM市场的发展提出了一定的借鉴意义。但随着我国债券市场的发展,相关信息披露的完善,CRM的定价方法与模型会更加丰富,定价准确性也会不断提高。
[Abstract]:Since 2005, with the strong support of national policies, China's credit bond market has developed rapidly, its market size has ranked first in Asia, at the same time. The risk structure of China's bond market has also become the risk structure of the coexistence of interest rate risk and credit risk. October 29th 2010. The introduction of the credit risk mitigation tool (CRM) makes up for the blank in the credit derivative market in China and enriches the methods for market participants to manage the credit risk. It is of great significance to the stability and development of our financial market. As a market-oriented credit derivative, the perfection and accuracy of pricing methods will directly affect the development of CRM market, compared with the financial markets in developed countries. China's bond market started late, credit transfer information, default probability information, recovery information and other information related to the bond market disclosure is not perfect. Therefore, the risk-neutral pricing model based on bond market price is more suitable for CRM products in China than the real world pricing model based on historical information disclosure. On the basis of the exhibition. The parameter data in the pricing model are made available in the bond market of our country, and the empirical analysis of the risk neutral pricing model is carried out by using the relevant data of 9 published CRMW. Through the empirical results, we can find that using this model to price CRM in China has a certain effectiveness, and under the same risk-free interest rate, with the increase of the recovery rate. The default probability of the reference bond will also increase, but the change of the recovery rate has little effect on the CRM price, which to some extent makes up for the lack of the real data of the bond recovery rate in our bond market. As a "China version" of the CRM market is still in its infancy, in 2008, the outbreak of the financial crisis, exposed the credit default swaps (CDSs) in the development of contracts, transactions. Supervision and other aspects of the problems, which also provide a certain reference for the development of China's CRM market, but with the development of China's bond market, the improvement of information disclosure. CRM pricing methods and models will be more abundant, pricing accuracy will continue to improve.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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