随机汇率下几类信用衍生产品的定价模型及应用

发布时间：2018-05-08 07:22

本文选题：信用违约风险 + 随机汇率　；参考：《上海师范大学》2012年硕士论文

【摘要】：近几年，随着金融危机的爆发，信用衍生产品应运而生，以规避市场中巨大的潜在风险。信用衍生产品的实质是为了转移信用风险。因此，研究并正确认识信用风险，对稳固整个金融体系，促使金融行业稳定发展具有重要意义。信用风险主要包含信用违约，信用等级下降及信用价差这三类风险。其中，信用违约风险是学术领域内研究最多的一类信用风险。它是指交易对手（借款人）不履行合同中的义务，即不能按时定期支付拟定的本金和利息，给市场上的投资者（贷款人）带来巨大的投资损失。本论文主要基于信用违约风险建立数学模型，对信用衍生产品进行定价。考虑到目前越来越多的中国中小企业选择在美国上市融资，本文研究的信用衍生产品定价模型涉及到两个市场：人民币市场和美元市场。发债第三方的主要营业范围在国内人民币市场；同时，在国外美元市场进行融资、融券。而为了转移这部分信用风险，国外美元市场会发行以国内发债方为标的的信用衍生产品。在本文假设中，信用衍生产品的买方和卖方同位于国外美元市场，而发债第三方公司位于国内人民币市场。同时，产品的卖方受政府担保，不存在违约的可能性。这样，，投资者就面临了汇率风险和国内发债第三方的信用风险。本文首先在第一章综述了信用风险的基本概念和此论文的模型意义,并介绍了信用风险主要的研究方法和国内外的发展历史；第二章介绍了与信用风险相关的一些预备知识。第三章，考虑了信用违约互换(CDS)在此模型中的定价。在随机汇率的假设下，运用倒向Kolmogrov方程得到了国内债券发行第三方的违约密度函数。通过偏微分方程,建立数学模型,确定在美元市场上发行的CDS定价。并对获得的结果进行了金融意义分析。第四章，运用此模型，对信用关联票据(CLN)的定价进行了分析。运用结构化方法在随机汇率的假定下，建立数学模型。通过偏微分方程确定了CLN产品的市场价格。并对不同变量给出了相关的金融分析。第五章，考虑了在随机汇率下，一类改进的关于信用关联票据的产品定价。即，一份可提前赎回的债券（putable bond)与一份CDS的结合。运用结构化方法建立偏微分方程，确定在此类信用衍生产品的市场定价。第六章，结论与展望，给出了本论文还存在的不足和今后要深入研究的方向。
[Abstract]:In recent years, with the outbreak of financial crisis, credit derivatives emerged as the times require to avoid huge potential risks in the market. The essence of credit derivatives is to transfer credit risk. Therefore, it is of great significance to study and correctly understand credit risk to stabilize the whole financial system and promote the steady development of financial industry. Credit risk mainly includes three kinds of risk: credit default, credit grade decline and credit spread. Among them, credit default risk is a kind of credit risk studied most in academic field. It refers to the failure of counterparties (borrowers) to fulfill their obligations in the contract, that is, failure to pay the proposed principal and interest on time and at regular intervals, which brings huge investment losses to investors (lenders) in the market. Based on the risk of credit default, this paper establishes a mathematical model to price credit derivatives. Considering that more and more small and medium-sized enterprises in China choose to go public and raise funds in the United States, the pricing model of credit derivatives in this paper involves two markets: RMB market and US dollar market. The main business scope of the third party is in the domestic RMB market; at the same time, in the foreign dollar market for financing, margin lending. In order to transfer this part of credit risk, the foreign dollar market will issue credit derivatives with domestic issuers as the target. In this paper, the buyer and seller of credit derivatives are located in the foreign dollar market, while the third party company is located in the domestic RMB market. At the same time, the seller of the product is guaranteed by the government, there is no possibility of default. In this way, investors are faced with exchange rate risk and third party credit risk of domestic bond issuance. The first chapter summarizes the basic concept of credit risk and the significance of the model of this paper, and introduces the main research methods of credit risk and the history of development at home and abroad, and the second chapter introduces some preliminary knowledge related to credit risk. In chapter 3, we consider the pricing of credit default swaps (CDS) in this model. Under the assumption of stochastic exchange rate, the default density function of the third party of domestic bond issuance is obtained by using the backward Kolmogrov equation. Through partial differential equation, the mathematical model is established to determine the pricing of CDS issued on the dollar market. The financial significance of the obtained results is analyzed. In chapter 4, the pricing of CLN is analyzed by using this model. Under the assumption of stochastic exchange rate, a mathematical model is established by using structured method. The market price of CLN products is determined by partial differential equation. The financial analysis of different variables is given. In chapter 5, we consider a class of improved product pricing for credit related instruments at random exchange rate. That is, a redeemable bond) and a CDS. The partial differential equation is established by using structured method to determine the market pricing of such credit derivatives. In chapter 6, the conclusion and prospect are given, and the deficiency of this paper and the direction of further research are given.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.9

【参考文献】