基于流动性因素的信用违约互换定价研究

发布时间：2019-06-19 13:50

【摘要】：流动性风险和信用违约互换(CDS)在国际金融危机和主权债务危机的蔓延、演化过程中扮演重要角色，两者都成为理论与实务界关注的焦点。本文通过详细研究广泛交易、影响深远的CDS合约以及流动性因素对其定价的影响，结合流动性和信用风险管理两大热点现实问题，从资产定价的微观角度切入，论证了流动性因素在衍生资产定价中的重要作用，探析现实中流动性风险和信用风险的相互交织，并且在危机情况下两者相互加强形成的风险传染机制。通过实证分析，，对照现实中国际金融市场的发展态势，笔者从微观的角度切入以反映宏观经济的某些内在运行规律，为我国发展信用衍生品市场、促进金融创新以及加强风险管理提供借鉴、参考依据。本文在Acharya和Pedersen(2005)建立的流动性CAPM分析框架基础上，分别就非零和博弈和零和博弈两种情况推导了嵌入流动性因素的衍生资产均衡定价模型，随后我们将零和博弈的情况应用于CDS的定价，对信用价差进行分解得到信用风险、公司层面的个别流动性因素和行业层面的系统流动性风险。实证结果显示，⑴流动性效应主导了CDS价格的变化，证明金融危机的恶化和扩散主要是源于流动性风险因素；⑵危机前流动性效应是唯一在统计意义上对CDS价格具有显著解释力的变量，说明信用膨胀时期违约风险往往被低定价；⑶内幕交易在CDS价格形成过程中扮演着重要角色；⑷随着买卖价差的扩大，CDS交易冲击效应愈加明显，但随着参考实体信用质量的上升交易冲击效应有所减弱；⑸源自市场参与者信息不对称的非流动性因素是危机传染的重要助推力量，做市商制度下源于信息不对称的逆向选择问题是导致危机时期CDS价格剧烈波动的主要原因之一。
[Abstract]:Liquidity risk and credit default swaps (CDS) play an important role in the spread and evolution of the international financial crisis and sovereign debt crisis, both of which are the focus of both theory and practice. This paper makes a detailed study of the influence of the wide-ranging transaction, the far-reaching CDS contract and the liquidity factors on its pricing, and the two hot issues of liquidity and credit risk management, from the micro-angle of the asset pricing, The important role of the liquidity factor in the pricing of the derived assets is demonstrated, and the cross-cutting of the liquidity risk and the credit risk in the real world is analyzed, and the risk transmission mechanism is strengthened with each other under the condition of the crisis. Through the empirical analysis and the development of the international financial market in the real world, the author points out from the micro point of view to reflect the internal running law of the macro-economy, and provides a reference for the development of the credit derivatives market, the promotion of financial innovation and the strengthening of the risk management. In this paper, based on the flow CAPM analysis framework established by Acharya and Pedersen (2005), the derived asset equilibrium pricing model of the embedded liquidity is derived from both the non-zero and the game and the zero and the game. The price is divided into the credit risk, the individual liquidity factor at the company level and the system liquidity wind at the industry level. The empirical results show that the liquidity effect leads to the change of the CDS price, which proves that the deterioration and diffusion of the financial crisis are mainly from the liquidity risk factors, and the liquidity effect before the crisis is the only change in the statistical sense to the CDS price. In this paper, the risk of default in the credit expansion period is often low, and the insider trading plays an important role in the formation of the CDS price. The impact effect of the CDS transaction is more obvious with the expansion of the purchase price difference, but with the increase of the credit quality of the reference entity, the impact effect is reduced. The non-liquidity factor, which originated from the asymmetric information of the market participants, is the important promoting force of the crisis transmission. The problem of the reverse selection from the information asymmetry under the market maker's system is the main cause of the sharp fluctuation of the CDS price in the crisis period.
【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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