可违约债券组合的信用风险和市场风险的集成度量研究

发布时间：2018-01-06 18:21

本文关键词：可违约债券组合的信用风险和市场风险的集成度量研究　出处：《浙江财经学院》2013年硕士论文　论文类型：学位论文

【摘要】：可违约资产包括可违约债券和信用衍生品等，因具有较高的收益，成为金融机构持有的重要头寸。国内的可违约资产市场发展不断取得突破，2005年推出的短期融资券是首支中国真正意义上的信用债券。2012年更具市场化和违约风险的国内中小企业私募债（俗称垃圾债）发行更将可违约债券的发展推向了更高的层次。然而因可违约资产同时面临市场风险和信用风险，金融机构需要有较强的风险管理能力。目前对风险的管理已经从对单个债券以及单笔贷款的风险进行管理转而关注于从整体组合的方向来管理风险。因此，组合中各个资产之间的信用相关性也是需要考虑的问题。本文同时研究信用-市场风险相关性和组合中各个体之间的信用相关性，在统一的联合框架内借助仿射技术来对可违约债券组合风险进行集成度量。目前国内对可违约资产组合做的研究很少，本文希望可以在以下方面进行探讨。第一部分，为建立联合相关性框架，分别介绍上述两相关性来捕捉组合风险。对于信用相关性，介绍相关处理技术。对于信用和市场风险相关性，引入风险因子，特别是简约模型中的违约强度。上述两个相关性都是以仿射过程来建立联合框架。第二部分，在信用风险度量的简约模型下利用强度定价过程，通过假设两个基本状态过程实际概率测度下为相互独立的一维CIR过程，进一步将本文的信用风险因子违约强度h和市场风险因子无风险利率r表示为基本状态变量的仿射形式，从而构建信用风险和市场风险的相关性。为集成度量组合的市场风险和信用风险，将仿射强度过程表示成系统信用风险因素和特质信用风险因素线性表示，从而考虑个体之间的信用相关性。为了得到度量结果，在可违约债券信用风险市场风险集成度量框架内，使用蒙特卡罗模拟技术对可违约债券组合价值进行模拟，得到某一风险计算期（horizon）组合损失分布图和一定置信度下的VaR值。第三部分，本文分别选择一组短期融资券组合，Shibor利率以及上证企业债到期收益率和上证国债到期收益率之差作为样本来进行参数估计和集成风险估计。参数估计结果中，无风险利率和违约强度呈现负相关关系，具有相互抵消的趋势。实证给出的两者负相关性与国内外学者研究一致。违约强度与上证企业债和上证国债到期收益率的差相关系数为正相关，反映了违约强度与信用价差成正关系。这与Jorion（2005）给出的美国经济周期与信用价差波动的相关性结果一致。对于集成风险估计方面，本文首先对只考虑信用风险，只考虑利率风险和不考虑信用相关性下信用-市场风险综合度量三种情况的风险值进行对比和分析，结果说明直接将两类风险加总也有可能会因为忽略不同风险间的复杂化效应而低估总风险。所以，直接将两类风险加总的传统方法可能会因风险间的分散化效应而高估总风险，也有可能因复杂化效应低估总风险。然后将不考虑信用相关性下组合和考虑信用相关性下组合风险集成度量结果进行比较，从风险值和模拟中极端违约事件发生次数两方面，表明不考虑信用相关性，违约可能性严重被低估，，也严重影响可违约资产组合的集合风险估计值，与国内外研究一致。
[Abstract]:Defaultable assets include defaultable bonds and credit derivatives, because of high income, become the important positions held by financial institutions. The defaultable asset market development has made breakthrough, short-term financing bills introduced in 2005 is the first Chinese real credit bonds.2012 more market-oriented and the default risk of the domestic small and medium-sized private debt (commonly known as junk bonds) issued the development of defaultable bonds to a higher level. However, because the defaultable assets face market risk and credit risk at the same time, financial institutions need to have strong risk management capabilities.
At present, the risk management is from the management of the single bond and the risk of a single loan to focus on managing risk from the overall portfolio direction. Therefore, also need credit correlation between each asset portfolio problem. At the same time the research credit correlation between individual credit market risk correlation and portfolio in this paper. With the help of affine technology to the defaultable bonds portfolio risk integration measurement in the United framework. The domestic research on defaultable portfolios do little, this paper to probe into the following aspects.
The first part is to establish a joint correlation framework, introduces the two correlation to capture portfolio risk. For credit correlation, introduces the related processing technology. For between credit and market risk, the risk factors, especially the default intensity of the simple model. The two relevance is the affine process to establish a joint framework.
The second part, the strength of the pricing process of simple model in the credit risk measurement, by assuming the two basic state process under the actual probability measure for one-dimensional CIR process independent of each other, further credit risk factors of the default intensity H and the market risk-free interest rate risk factor R as affine form basic state variables, thus correlation the construction of credit risk and market risk. For the combination of integrated measure of market risk and credit risk, the affine intensity process represented as a linear system of credit risk factors and characteristics of credit risk factors, so as to consider the credit correlation between individuals. In order to obtain the measurement results in the defaultable bond credit risk market risk integration measurement framework, the use of the Monte Carlo simulation technique to simulate the defaultable bonds portfolio value, calculated from a period of risk (horizon) portfolio loss The VaR value of a misdistribution graph and a certain confidence level.
The third part, this paper selects a set of short-term financing bonds, Shibor interest rate and SSE corporate bond yield and the government bond yield as sample for parameter estimation and integrated risk estimation. Parameter estimation results, showing negative correlation between risk-free interest rate and default intensity, has offset the trend. The negative correlation between both empirical research and scholars at home and abroad. The default intensity and SSE corporate bond and SSE government bond yield difference correlation coefficient is positive, reflecting the default intensity and credit spreads has positive relationship with Jorion (2005). The correlation between the results of the national economic cycle and credit spread volatility.
For integrated risk estimation, this paper only consider the credit risk, interest rate risk and not only consider the correlation between credit market considering credit risk comprehensive risk measure three kinds of value is compared and analyzed. The results show that the direct total add up two types of risk also may neglect thecomplicating effects among different risks and underestimate the total risk. Therefore, directly to the two categories of risk with the traditional method in general may be due to the risk diversification effect and overestimate the total risk, but also may be due to the complex effects of underestimate the total risk. Then will not consider credit related under the portfolio and consider credit correlation under the portfolio risk integration measurement results are compared from the risk the simulation value and the extreme event of default two times, that does not consider the possibility of default correlation of credit, seriously underestimated, but also seriously affect the defaultable portfolios set The estimated value of the risk is consistent with the domestic and foreign research.

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

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