金融危机与一般均衡视角下单名CDS定价

发布时间：2017-12-30 20:34

本文关键词：金融危机与一般均衡视角下单名CDS定价　出处：《管理评论》2017年04期 　论文类型：期刊论文

【摘要】：次贷危机很大程度上与信用衍生品的定价有关,且当前对信用衍生品的定价研究主要使用无套利原理。在单一框架下进行研究很可能对其定价产生盲点。本文使用一般均衡原理,建立产品市场和金融市场同时均衡下的单名CDS定价模型,发现一般均衡的定价结果已经包含了无套利定价结果。在敏感性分析中,将无套利定价与一般均衡定价进行对比,发现一般均衡定价有更丰富更准确的风险刻画能力。在情景模拟中,将金融危机时期和金融危机后无套利定价与一般均衡定价进行对比,发现一般均衡定价在金融危机时期与无套利定价差距较大,在正常时期差距较小,这也从侧面表明一般均衡定价对于无套利定价的完善和补充。
[Abstract]:The subprime mortgage crisis is largely related to the pricing of credit derivatives. At present, the pricing of credit derivatives is mainly based on the no-arbitrage principle. Under a single framework, the pricing of credit derivatives is likely to produce blind spots. In this paper, the general equilibrium principle is used. The single-name CDS pricing model under the equilibrium of product market and financial market is established. It is found that the general equilibrium pricing results already contain the no-arbitrage pricing results. By comparing the non-arbitrage pricing with the general equilibrium pricing, it is found that the general equilibrium pricing has a richer and more accurate risk characterization ability. Comparing the non-arbitrage pricing with the general equilibrium pricing during the financial crisis and after the financial crisis, it is found that the gap between the general equilibrium pricing and the non-arbitrage pricing in the financial crisis period is large, and the gap is small in the normal period. It also shows the perfection and supplement of general equilibrium pricing for non-arbitrage pricing.
【作者单位】：福州大学投资与风险管理研究所;
【基金】：福建省社会科学规划项目(2010B051)
【分类号】：F224;F831.5
【正文快照】： 引言1、金融危机与信用衍生品定价风险始于2007年的美国次级抵押贷款危机事件持续了一年多以后,蔓延到债务抵押债券,进而波及信用违约互换(CDS)市场,并演变成为美国的“金融风暴”,造成欧洲、俄罗斯、日本、香港等诸多国家和地区股市暴跌,金融机构破产,全球经济陷入恐慌。直到

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