交易对手信用风险的度量及其在权益类衍生品和利率衍生品中的应用

发布时间：2018-01-04 02:02

本文关键词：交易对手信用风险的度量及其在权益类衍生品和利率衍生品中的应用　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文介绍了交易对手信用风险中的三种重要度量：潜在未来风险敞口、预期正风险敞口和信用价值调整并进行了数值分析.第二章介绍潜在未来风险敞口和预期正风险敞口的概念并比较了他们的优劣.第三章对于信用价值调整做了介绍并阐述了以往假设风险敞口与违约强度之间相互独立的不合理性,说明了考虑错向风险的必要性,并且给出了欧式期权的含错向风险的单边信用价值调整的显示解.接着笔者对双边信用价值调整在考虑金融衍生品风险时的必要性做了阐述.在计算中避免了以往对于双边信用价值调整的重复计算,并且研究了欧式期权的含错向风险的双边信用价值调整.第四章介绍利率衍生品中的利率互换,并指出其信用价值调整的计算是一揽子利率选择权的定价问题,与第三章形成了呼应.对于更加复杂的奇异衍生品,笔者给出用嵌套蒙特卡洛方法以及最小二乘蒙特卡洛方法对其信用价值调整计算的框架.本文最后介绍了笔者在法国学习及在法国兴业银行实习期间的些许经验,并对信用价值调整计算中的部分难点提出建议,包括抵押化、清算、回收率等.本文希望能够抛砖引玉,通过对于信用价值调整的介绍以及对若干实例的剖析,让有关金融行业的从业者更好地了解交易对手信用风险.
[Abstract]:This paper introduces the counterparty credit risk in the three important measures: potential future exposure is expected risk and credit value adjustment and numerical analysis. The second chapter introduces the concept of potential future exposure and expected positive exposure and compare their advantages and disadvantages. The third chapter for credit value adjustment it introduces and irrationality of the independent described previous assumptions between exposure and default intensity, explains the necessity to consider the risk of wrong, and wrong with the option to display the unilateral credit value adjustment risk. Then the author gives the solution of the necessity of bilateral credit value adjustment in financial derivatives the risk is presented. In the calculation of the repeated calculation of the bilateral credit value adjustment, and studied the wrong option to contain the risk of bilateral credit value The fourth chapter introduces the adjustment of interest rate derivatives. The interest rate swap, and pointed out that the calculation of the credit value adjustment is the problem of pricing interest rate options package, and the third chapter form echo. For the singular derivatives more complex, the frame is given to calculate the credit value adjustment by the nested Monte Carlo method and Least Squares Monte Carlo method. At the end of this paper the author introduces some experience in learning and practice in France during the French bank, and puts forward some suggestions on the part of the difficulty of calculating credit value adjustment, including mortgage, liquidation, recovery rate. In this paper, hoping to attract, through the credit value adjustment, introduction and analysis of some examples, for the financial industry practitioners to better understand counterparty credit risk.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F224

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