信用衍生品的定价研究

发布时间：2018-06-04 22:43

本文选题：信用违约互换 + 结构化模型　；参考：《安徽财经大学》2014年硕士论文

【摘要】：自美国2007年8月爆发的次级贷款债券危机以来,信用风险的集中爆发严重影响了经济和金融稳定。因此对于如何有效管理世界各国金融机构所面临的信用风险,成为一项难题。在全球信用危机背景下产生的信用衍生品成为了大家关注的焦点,对于金融市场中出现的信用风险来说是必不可少的有效管理工具。而信用违约互换作为信用衍生产品之中最主要且最快速发展的一种,是信用风险管理的主流工具。对信用违约互换定价进行研究是其他信用衍生产品定价研究的基础。发展信用衍生品、有效管理各种信用风险已经成为当前国内外理论界和实际金融部门研究的重点。本文第一章首先简单介绍了信用衍生品的种类、主要构成要素、在次贷危机中的作用评价以及风险类型,并对信用衍生品定价理论的发展历史进行相关回顾以及大概的介绍。第二章主要介绍了依据两种定价方法而得到的信用违约互换定价的两种模型：结构化模型和简化模型。同时对信用违约互换通过举例进行了简单介绍,并在一定的假设下得到信用违约互换价格表达式,分析了影响信用违约互换价格的主要因素。第三章以KMV模型和二叉树模型为基础,对公司债券定价进行了实证研究,另外还建立了标准信用违约互换定价模型并对其在公司债定价的适用性进行研究。将上述模型应用于信用违约互换定价,结果表明这两种方法都适用于我国信用违约互换定价。第四章从美国次贷危机的实践出发,考虑了参与者行为对信用衍生品定价的影响。首先研究企业的内生违约机制,通过最大化证券价值来内生决定最优违约门槛,并通过引入跳跃成分构建模型来确定最优违约门槛值；其次在不完全信息的框架下,以结构模型为基础构建了一个综合模型,分析投资者策略行为、道德风险和逆向选择行为对信用衍生品定价的影响。
[Abstract]:Since the subprime bond crisis broke out in August 2007, the credit risk concentration has seriously affected the economic and financial stability. Therefore, how to effectively manage the credit risk faced by financial institutions all over the world has become a difficult problem. Under the background of the global credit crisis, credit derivatives have become the focus of attention, which is an indispensable effective management tool for the credit risk in the financial market. As one of the most important and rapidly developing credit derivative products, credit default swap is the mainstream tool of credit risk management. The study of credit default swap pricing is the basis of other credit derivatives pricing research. The development of credit derivatives and the effective management of various credit risks have become the focus of theoretical and practical research at home and abroad. The first chapter briefly introduces the types of credit derivatives, the main elements of credit derivatives, the role of evaluation and risk types in the subprime mortgage crisis, and reviews the history of the pricing theory of credit derivatives and gives a general introduction. The second chapter mainly introduces two models of credit default swap pricing based on two pricing methods: structured model and simplified model. At the same time, the paper gives a brief introduction to credit default swap through examples, and obtains the expression of credit default swap price under certain assumptions, and analyzes the main factors that affect the credit default swap price. In chapter 3, based on KMV model and binary tree model, the paper makes an empirical study on corporate bond pricing, and establishes a standard credit default swap pricing model and studies its applicability in corporate bond pricing. The above models are applied to the pricing of credit default swaps. The results show that the two methods are applicable to the pricing of credit default swaps in China. Chapter four considers the influence of participant behavior on credit derivatives pricing from the practice of the subprime mortgage crisis in the United States. Firstly, the paper studies the endogenous default mechanism of enterprises, determines the optimal threshold of default by maximizing the value of securities, and establishes the optimal threshold of default by introducing jump components. Secondly, under the framework of incomplete information, the optimal threshold of default is determined. Based on the structural model, a comprehensive model is constructed to analyze the influence of investors' strategic behavior, moral hazard and adverse selection behavior on the pricing of credit derivatives.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F224

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