考虑交易对手间三种违约相关情景下的CDS定价——基于单因子Copula模型的模拟

发布时间：2018-01-12 03:09

本文关键词：考虑交易对手间三种违约相关情景下的CDS定价——基于单因子Copula模型的模拟　出处：《系统管理学报》2017年03期 　论文类型：期刊论文

【摘要】：2008年金融危机中暴露出的交易对手违约相关风险,不仅使作为信用违约互换(CDS)交易对手方的Lehman Brothers,Bear Sterns和AIG等金融机构遭受了巨额损失,而且增加了金融市场的系统性风险。因此,考虑交易对手违约相关风险对合理定价CDS至关重要。基于单因子Copula模型框架,数值模拟分析了交易对手间3种不同违约相关情景下的CDS定价,在统一的框架内创新性地解决了信用保护卖方、买方和参考资产方的违约相关情况、违约强度、支付频率及回收率等因素对CDS定价的影响。结果表明:(1)保护卖方和参考资产方形成的违约相关对CDS定价的影响要强于交易三方违约相关的影响,各情景下的CDS价格明显不同;(2)随着保护买方支付频率的增加,3种情景下的CDS价格均逐渐降低;(3)参考资产方回收率的增加,会降低不同情景下的CDS价格且差异明显。
[Abstract]:The financial crisis in 2008 exposed the counterparty default risk, not only as credit default swaps (CDS) counterparties Lehman Brothers, Bear Sterns and AIG and other financial institutions suffered huge losses, but also increase the systemic risk in the financial market. Therefore, considering the counterparty default risk related to reasonable pricing is CDS single factor. Based on the Copula model, numerical simulation analysis of 3 kinds of counterparty default CDS pricing scenarios, in a unified framework of innovative solution to the credit protection seller, buyer and breach of the relevant circumstances, the reference asset default intensity, frequency and influencing factors of payment recovery rate of CDS pricing. The results showed that: (1) the seller and the reference asset protection party formed by default related effects on CDS pricing than the transaction three party breach related effects under different scenarios of CDS The price is obviously different. (2) with the increase of the payment frequency of the buyers, the CDS prices in the 3 scenarios are decreasing gradually. (3) the increase of the reference Party's recovery rate will reduce the CDS price under different scenarios, and the difference is obvious.

【作者单位】：申万宏源证券有限公司;复旦大学经济学院;大连理工大学工商管理学院;
【基金】：中国博士后科学基金资助项目(2016M591579) 教育部博士点基金资助项目(20090041110009) 中央高校基本科研业务费专项资金资助项目(DUT11RW202,DUT10ZD107,DUT10RW107)
【分类号】：F224;F830.91
【正文快照】： 3.大连理工大学工商管理学院,辽宁大连116023)20世纪90年代末,市场上出现了对信用风险衍生产品的巨大需求,信用违约互换(CreditDefault Swaps,CDS)是其中的重要产品之一。近年来,我国债券市场发展迅速,规模已跃居亚洲第二、世界第六,特别是信用债券市场规模已居亚洲首位。然而

【相似文献】