抵押资产组合对信用利差期限结构的影响分析
发布时间：2018-10-29 14:21
【摘要】：在国际金融环境变化不断加剧、全球化进程不断深入的背景下,如何管理好信用风险是各国家所面临的重要问题。本文利用Merton结构式模型思想,考察了抵押资产组合对信用风险的分散与缓释作用,含有抵押资产组合的零息债券定价、信用违约和信用利差结构问题。研究结果表明,抵押资产与标的资产之间的相关性及波动率都影响违约概率和信用利差期限结构;有抵押时违约概率要小于无抵押时的违约概率;存在抵押资产组合时,零息债券的信用利差要小于无风险时的信用利差,抵押资产组合下的信用利差大于单一抵押资产下的信用利差;并且含有抵押资产组合的信用利差期限结构形状为L型曲线。
[Abstract]:Under the background of the change of international financial environment and the deepening of globalization, how to manage credit risk well is an important problem that every country faces. Based on the idea of Merton structural model, this paper investigates the dispersion and slow release of credit risk caused by mortgage portfolio, the pricing of zero interest bond with mortgage asset portfolio, credit default and credit spread structure. The results show that the correlation and volatility between mortgage assets and underlying assets affect the default probability and the term structure of credit spreads, and the default probability of mortgage is smaller than that of unsecured assets. When there is a portfolio of mortgage assets, the credit spread of zero-interest bonds is smaller than that of risk-free bonds, and the credit spread under the portfolio of mortgage assets is larger than that under a single mortgage asset. And the term structure of credit spread with mortgage portfolio is L-shaped curve.
【作者单位】： 东北财经大学数学与数量经济学院;
【基金】：国家自然科学基金项目“我国通胀预期和通胀风险溢价与宏观因子作用机制的计量研究”(71273044) 教育部人文社会科学一般研究项目“风险抵押组合与信用风险定价”(09YJA790028) 教育部人文社会科学重点研究基地重大项目“利率期限结构与货币政策效果:基于中国银行业的产业组织分析”(2009JJD790004)
【分类号】：F224;F830
本文编号：2297940
[Abstract]:Under the background of the change of international financial environment and the deepening of globalization, how to manage credit risk well is an important problem that every country faces. Based on the idea of Merton structural model, this paper investigates the dispersion and slow release of credit risk caused by mortgage portfolio, the pricing of zero interest bond with mortgage asset portfolio, credit default and credit spread structure. The results show that the correlation and volatility between mortgage assets and underlying assets affect the default probability and the term structure of credit spreads, and the default probability of mortgage is smaller than that of unsecured assets. When there is a portfolio of mortgage assets, the credit spread of zero-interest bonds is smaller than that of risk-free bonds, and the credit spread under the portfolio of mortgage assets is larger than that under a single mortgage asset. And the term structure of credit spread with mortgage portfolio is L-shaped curve.
【作者单位】： 东北财经大学数学与数量经济学院;
【基金】：国家自然科学基金项目“我国通胀预期和通胀风险溢价与宏观因子作用机制的计量研究”(71273044) 教育部人文社会科学一般研究项目“风险抵押组合与信用风险定价”(09YJA790028) 教育部人文社会科学重点研究基地重大项目“利率期限结构与货币政策效果:基于中国银行业的产业组织分析”(2009JJD790004)
【分类号】：F224;F830
【共引文献】
相关博士学位论文 前1条
1 荆伟;商业银行信用风险计量与管理研究[D];吉林大学;2006年
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1 叶琳;我国住房抵押贷款的风险缓释体系研究[D];暨南大学;2005年
2 周旋;我国住房抵押贷款证券化的障碍及对策研究[D];山东大学;2006年
3 陈静;含有信用风险的债券及期权定价问题研究[D];南京理工大学;2006年
4 邵年;房地产开发贷款的违约风险模型[D];南京理工大学;2006年
5 邓太杏;商业银行贷款风险定价模型研究[D];湖南大学;2006年
6 李可;我国商业银行贷款定价问题分析[D];西南财经大学;2007年
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