基于博弈均衡理论的信用衍生品定价研究

发布时间：2018-03-08 16:06

本文选题：信用衍生品　切入点：博弈论　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：信用风险是金融市场上一种重要的金融风险,对该风险的控制一直是困扰银行和参与金融合约交易当事人的关键问题。自美国次贷危机以来,信用风险的集中爆发严重影响了经济发展和金融稳定。所以,对信用风险进行有效的控制已然成为了世界各国金融机构所面临的难题之,信用衍生品的产生恰恰是为了解决这一难题。信用衍生品的发展,必须要掌握其核心.也就是定价理论。对于我国的信用衍生品市场发展还不够完善、信息不对称程度较高,需要重新对信用衍生品的定价理论进行修正。本文从信用衍生品交易双方的信息小对称这一新的旧究视角出发,运用信号动态博弈方法得出影响违约概率的违约门槛,然后结合基础模型推导出最终定价,这不同于以往结构模型违约门槛是固定常数的假设也不同于约化型模型对债务人与债务人质检信息不完全的研究角度,使得信用衍生品的定价过程更加符合现实,具有重要的理论意义和较强的现实意义。本文第一章是绪论,主要阐述研究的背景以及研究方法,明晰自己的研究方向第二章是对信用衍生品定价研究的文献进行梳理和评述,这样可以从众多研究文献中寻找研究信用衍生品定价的思路。确定本文的研究点第三章是对信用衍生品进行概述,通过信用风险的存在以及如何有效控制引出信用衍生品产生的必然性,并阐述了信用衍生品定价的相关理论。第四章是把现有的一般定价模型(基于信息视角)进行具体描述并进行评析,说明现有一般模型的弊端,并阐述给本人对于信用衍生品定价研究的视角。第五章是以交易双方的信息不对称为前提,通过博弈论方法对定价过程的构造以及分析,主要是通过信号动态博弈得出违约门槛的值。违约门槛进而影响违约概率,然后对信用衍生品进行定价推导并进行了博弈均衡模型结果分析,最后是对定价模型的比较分析以及探讨了博弈均衡模型定价需要考虑的主要问题。最后第六章是对本文的总结,通过研究得出：信用衍生品的交易过程存在信息不对称,违约门槛的值与交易双方有密切关系,当交易卖方相信交易买方的盈利能力时,违约门槛较低,此时违约概率较高,同时信用衍生品的定价就较高；对于交易买方来说,建立良好的公众形象,及时的向投资者传递正面信息,对于交易能否顺利完成至关重要；对于我国信用衍生品的发展必须要以信息不对称为前提、合理定价为核心、产品设计为关键,产品设计和定价满足交易双方的利益追求是信用衍生品市场发展的重要因素。
[Abstract]:Credit risk is one of the most important financial risk in the financial market, to control the risk is a key problem of troubled banks and participation in financial contract parties. Since the U.S. subprime mortgage crisis, focus on the outbreak of the credit risk of the serious impact on economic development and financial stability. Therefore, effective control of credit risk has become the problem faced by the financial institutions of all countries in the world, which is precisely the credit derivatives in order to solve this problem. The development of credit derivatives, we must grasp its core. It is pricing theory. For China's credit derivatives market is still not perfect, the higher the degree of information asymmetry, the need to re pricing theory of credit derivatives are this article from the correction. The credit derivatives trading information asymmetrical both sides of this new old research perspective, using the dynamic game method to signal Influence of the probability of default default threshold, and then combined with the basic model to derive the final pricing, which is different from the previous model of default threshold is a fixed constant assumption of different research perspective on reduced model of the debtor and the debtor quality inspection information, the pricing process of credit derivatives is more realistic, and has important theoretical significance and the strong practical significance.
The first chapter of this article is the introduction, which mainly expounds the background and research methods of the research, and clarifying the direction of his research.
The second chapter reviews and reviews the literature on the pricing of credit derivatives, so that we can find the way to study the pricing of credit derivatives from many research literatures.
The third chapter summarizes the credit derivatives, and points out the inevitability of the creation of credit derivatives through the existence of credit risk and effective control, and expounds the related theories of credit derivatives pricing.
The fourth chapter is the existing general pricing model (based on information perspective) to make specific description and comment, explain the drawbacks of the existing general models, and explain to myself the perspective of pricing credit derivatives.
The fifth chapter is the asymmetric information to the parties to the transaction as the premise, through the game theory method to construct the process of pricing and analysis, mainly through the signal dynamic game the default threshold value. The default threshold affects the probability of default, then the credit derivatives pricing is derived and the equilibrium model analysis, finally to pricing comparative analysis on the model and discusses the main problems of equilibrium pricing model needs to be considered.
Finally, the sixth chapter is a summary of this article, it is concluded that the transaction process of credit derivatives of asymmetric information, the default threshold value and there is a close relationship between the parties to the transaction, when the transaction transaction the buyer seller believes the profitability, the default threshold is low, the default probability is higher, and the pricing of credit derivatives is higher for; the transaction the buyer, to establish a good public image, timely delivery of positive information to investors, the transaction can be completed smoothly is essential; for the development of China's credit derivatives must be based on the information asymmetry is the premise of reasonable pricing is the core of product design, product design and pricing is the key to meet the interests of both parties is an important factor in the pursuit of the development of credit derivatives market.

【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F830.42

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