信用违约互换价格影响因素的实证研究

发布时间：2018-06-14 19:41

本文选题：信用违约互换 + 影响因素　；参考：《暨南大学》2013年硕士论文

【摘要】：信用违约互换（Credit Default Swap，CDS）是一种规避公司信用风险的保险合同，经过20年的发展，它已经成为信用衍生品市场上交易量最大的衍生品。CDS不仅能帮助银行规避信用风险，还能为欲发行债券的公司提供保障。目前，我国已推出主要在银行间交易的信用风险缓释合约（Credit Risk MitigationAgreement）即中国版的CDS。因此，，研究CDS价格的影响因素，建立规范、合理的CDS定价体系对我国CDS市场的发展至关重要。本文主要从信用风险、流动性风险、利率风险三个方面研究了CDS价格的影响因素。文章首先介绍了CDS的相关概念并对国内外关于CDS价格影响因素的文献进行了回顾，随后阐述了CDS的产生和发展状况，以及本文研究的理论基础。接下来，本文用多元回归模型分析了信用违约互换价格的影响因素，得出了与理论相一致的结果，即买卖价差越大，CDS流动性越低，其价格越高；参考实体的信用等级越高，CDS价格越低；无风险利率越高，CDS价格越低。由于近年来，流动性溢价被越来越多的学者关注，最后本文用Fama-MacBeth回归结合广义最小二乘法对CDS价格及其买卖价差之间的关系进行实证分析，得出结论并对CDS在我国的发展提出相关政策建议。
[Abstract]:Credit default swap Credit default SwapSs (CDS) is an insurance contract to avoid the credit risk of a company. After 20 years of development, it has become the most traded derivatives in the credit derivatives market. CDS can not only help banks avoid credit risk. It also provides protection for companies that want to issue bonds. At present, China has launched the Credit risk Mitigation Agreement (CDSs), which is mainly traded between banks. Therefore, it is very important for the development of CDS market to study the influencing factors of CDS price and establish a standardized and reasonable CDS pricing system. This paper studies the influencing factors of CDS price from three aspects: credit risk, liquidity risk and interest rate risk. This paper first introduces the relevant concepts of CDS and reviews the literature on the factors affecting the price of CDS at home and abroad. Then it expounds the emergence and development of CDS and the theoretical basis of this study. Then, this paper analyzes the influencing factors of credit default swap price by using the multiple regression model, and obtains the result consistent with the theory, that is, the bigger the price difference is, the lower the liquidity of CDS is, the higher the price is. The higher the credit rating of the reference entity, the lower the CDS price; the higher the risk-free interest rate, the lower the CDS price. In recent years, more and more scholars pay more and more attention to liquidity premium. Finally, the relationship between CDS price and its spread is analyzed empirically by Fama-MacBeth regression and generalized least square method. Draw a conclusion and the development of CDS in China put forward relevant policy recommendations.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

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