本文選題：信用衍生品　切入點(diǎn)：博弈論　出處：《上海師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：信用風(fēng)險(xiǎn)是金融市場(chǎng)上一種重要的金融風(fēng)險(xiǎn),對(duì)該風(fēng)險(xiǎn)的控制一直是困擾銀行和參與金融合約交易當(dāng)事人的關(guān)鍵問(wèn)題。自美國(guó)次貸危機(jī)以來(lái),信用風(fēng)險(xiǎn)的集中爆發(fā)嚴(yán)重影響了經(jīng)濟(jì)發(fā)展和金融穩(wěn)定。所以,對(duì)信用風(fēng)險(xiǎn)進(jìn)行有效的控制已然成為了世界各國(guó)金融機(jī)構(gòu)所面臨的難題之,信用衍生品的產(chǎn)生恰恰是為了解決這一難題。信用衍生品的發(fā)展,必須要掌握其核心.也就是定價(jià)理論。對(duì)于我國(guó)的信用衍生品市場(chǎng)發(fā)展還不夠完善、信息不對(duì)稱程度較高,需要重新對(duì)信用衍生品的定價(jià)理論進(jìn)行修正。本文從信用衍生品交易雙方的信息小對(duì)稱這一新的舊究視角出發(fā),運(yùn)用信號(hào)動(dòng)態(tài)博弈方法得出影響違約概率的違約門檻,然后結(jié)合基礎(chǔ)模型推導(dǎo)出最終定價(jià),這不同于以往結(jié)構(gòu)模型違約門檻是固定常數(shù)的假設(shè)也不同于約化型模型對(duì)債務(wù)人與債務(wù)人質(zhì)檢信息不完全的研究角度,使得信用衍生品的定價(jià)過(guò)程更加符合現(xiàn)實(shí),具有重要的理論意義和較強(qiáng)的現(xiàn)實(shí)意義。 本文第一章是緒論,主要闡述研究的背景以及研究方法,明晰自己的研究方向 第二章是對(duì)信用衍生品定價(jià)研究的文獻(xiàn)進(jìn)行梳理和評(píng)述,這樣可以從眾多研究文獻(xiàn)中尋找研究信用衍生品定價(jià)的思路。確定本文的研究點(diǎn) 第三章是對(duì)信用衍生品進(jìn)行概述,通過(guò)信用風(fēng)險(xiǎn)的存在以及如何有效控制引出信用衍生品產(chǎn)生的必然性,并闡述了信用衍生品定價(jià)的相關(guān)理論。 第四章是把現(xiàn)有的一般定價(jià)模型(基于信息視角)進(jìn)行具體描述并進(jìn)行評(píng)析,說(shuō)明現(xiàn)有一般模型的弊端,并闡述給本人對(duì)于信用衍生品定價(jià)研究的視角。 第五章是以交易雙方的信息不對(duì)稱為前提,通過(guò)博弈論方法對(duì)定價(jià)過(guò)程的構(gòu)造以及分析,主要是通過(guò)信號(hào)動(dòng)態(tài)博弈得出違約門檻的值。違約門檻進(jìn)而影響違約概率,然后對(duì)信用衍生品進(jìn)行定價(jià)推導(dǎo)并進(jìn)行了博弈均衡模型結(jié)果分析,最后是對(duì)定價(jià)模型的比較分析以及探討了博弈均衡模型定價(jià)需要考慮的主要問(wèn)題。 最后第六章是對(duì)本文的總結(jié),通過(guò)研究得出：信用衍生品的交易過(guò)程存在信息不對(duì)稱,違約門檻的值與交易雙方有密切關(guān)系,當(dāng)交易賣方相信交易買方的盈利能力時(shí),違約門檻較低,此時(shí)違約概率較高,同時(shí)信用衍生品的定價(jià)就較高；對(duì)于交易買方來(lái)說(shuō),建立良好的公眾形象,及時(shí)的向投資者傳遞正面信息,對(duì)于交易能否順利完成至關(guān)重要；對(duì)于我國(guó)信用衍生品的發(fā)展必須要以信息不對(duì)稱為前提、合理定價(jià)為核心、產(chǎn)品設(shè)計(jì)為關(guān)鍵,產(chǎn)品設(shè)計(jì)和定價(jià)滿足交易雙方的利益追求是信用衍生品市場(chǎng)發(fā)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.

【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.5;F830.42

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本文編號(hào)：1584587