本文關(guān)鍵詞：信用違約互換的定價(jià)與模型　出處：《山東大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 信用違約互換 信用價(jià)差 隨機(jī)回收率 單因子模型

【摘要】：現(xiàn)代金融市場(chǎng)兩個(gè)重要的發(fā)展是資產(chǎn)的證券化和衍生產(chǎn)品的大量使用,而信用衍生品正是這兩者的合理延伸。隨著金融體制改革,金融競(jìng)爭(zhēng)將更加激烈,金融風(fēng)險(xiǎn)更加突出,迫切需要引入新的信用風(fēng)險(xiǎn)管理方法和技術(shù)。信用衍生品是20世紀(jì)90年代末發(fā)展起來(lái)的一種用于規(guī)避信用風(fēng)險(xiǎn)的新型金融衍生工具。因此研究信用衍生品的定價(jià)問(wèn)題日漸迫切。 本文主要講述了信用違約互換的定價(jià)和模型。信用違約互換包括單一公司的信用違約互換和一籃子信用違約互換兩部分。在單一公司的信用違約互換的定價(jià)與模型中,首先假定債券發(fā)行公司的生存概率已知的情況下，，利用無(wú)套利原理計(jì)算出了信用違約互換的價(jià)格。其次,在根據(jù)結(jié)構(gòu)化方法的基礎(chǔ)上,通過(guò)求解幾何布朗運(yùn)動(dòng)得到生存概率的表達(dá)式,并用Monte Carlo方法模擬出標(biāo)準(zhǔn)布朗運(yùn)動(dòng),進(jìn)而求出生存概率。最后,CDS定價(jià)模型計(jì)算了一個(gè)具體的例子,并分析了CDS的到期時(shí)間、期望回收率以及公司的波動(dòng)率和CDS價(jià)格之間的關(guān)系。 一籃子信用違約互換又分為首次信用違約互換和第N次信用違約互換。該部分利用單因子t-Copula模型,并用Beta分布、正態(tài)分布、對(duì)數(shù)正態(tài)分布以及二項(xiàng)分布模擬隨機(jī)回收率進(jìn)行定價(jià),并探討隨機(jī)回收率在服從以上四種分布時(shí)的信用價(jià)差的變化。 模擬結(jié)果發(fā)現(xiàn),隨著違約的次數(shù)的增加,無(wú)論是固定回收率還是各種分配下的隨機(jī)回收率,其合理的信用價(jià)差都逐漸降低。因?yàn)殡S著違約次數(shù)的增加,累積發(fā)生的概率越低,則期望損失的現(xiàn)值會(huì)降低,因此信用價(jià)差隨著降低。各種分配下的隨機(jī)回收率所得的信用價(jià)差與固定回收率得到的信用價(jià)差相比較,固定回收率的信用價(jià)差要高于所有隨機(jī)回收率的信用價(jià)差,故若使用固定回收率定價(jià)第N次信用違約互換將造成高估信用價(jià)差的情景。 最后,重點(diǎn)考慮各種分配下的隨機(jī)回收率模型重要參數(shù)的敏感度分析,這些重要參數(shù)主要包括風(fēng)險(xiǎn)率h、發(fā)行時(shí)間T、自由度v、相關(guān)系數(shù)ρ、回收率的樣本均值μ、回收率的樣本標(biāo)準(zhǔn)差σ等。 在這些重要參數(shù)敏感度方面,模擬結(jié)果發(fā)現(xiàn),隨著風(fēng)險(xiǎn)率、到期時(shí)間的增加,信用價(jià)差也會(huì)發(fā)生同向變動(dòng)；但隨著相關(guān)系數(shù)、樣本均值和自由度的增加,信用價(jià)差則會(huì)發(fā)生反向變動(dòng)；而樣本標(biāo)準(zhǔn)差的變化對(duì)信用價(jià)差沒(méi)有明顯影響。
[Abstract]:The two important developments of the modern financial market are the securitization of assets and the extensive use of derivative products, and credit derivatives are the reasonable extension of both. With the reform of the financial system, the financial competition will become more intense. Financial risk is more prominent. There is an urgent need to introduce new methods and techniques for credit risk management. Credit derivatives are a new type of financial derivatives developed at the end of 1990s to avoid credit risk. The issue of pricing is becoming increasingly urgent. This paper mainly describes the pricing and model of credit default swaps. Credit default swaps include credit default swaps of a single company and a basket of credit default swaps. In the model. First, assuming the survival probability of the bond issuing company is known, the price of credit default swaps is calculated by using the no-arbitrage principle. Secondly, based on the structured method. The expression of survival probability is obtained by solving geometric Brownian motion, and the standard Brownian motion is simulated by Monte Carlo method. Finally, the survival probability is obtained. The CDS pricing model calculates a concrete example, and analyzes the relationship between the expiration time of CDS, the expected recovery rate, the volatility of the company and the CDS price. A basket of credit default swaps is divided into first credit default swaps and N times credit default swaps. This part uses single factor t-Copula model and Beta distribution, normal distribution. The lognormal distribution and binomial distribution are used to simulate the random recovery rate and the variation of the credit spread between the four distributions is discussed. The simulation results show that with the increase of default times, whether the fixed recovery rate or the random recovery rate under various allocations, the reasonable credit spreads are gradually reduced, because with the increase of the number of defaults. The lower the probability of cumulative occurrence, the lower the present value of the expected loss, so the credit spread decreases. The credit spread of the fixed recovery rate is higher than that of all the random recovery rates, so if the fixed recovery rate is used to price the N times credit default swap, the situation of overestimating the credit spread will be caused. Finally, we focus on the sensitivity analysis of the important parameters of the stochastic recovery model under various distributions. These important parameters mainly include risk rate h, issue time T, degree of freedom v, correlation coefficient 蟻. The sample average of recovery is 渭, the sample standard deviation of recovery is 蟽, and so on. In the sensitivity of these important parameters, the simulation results show that with the increase of risk rate and expiration time, the credit spread will change in the same direction. However, with the increase of correlation coefficient, sample mean and degree of freedom, the credit spread will change inversely. However, the variation of sample standard deviation has no obvious effect on credit spread.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F830.9

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本文編號(hào)：1413958