本文選題：信用衍生品 + 籃式信用違約互換�。� 參考：《大連理工大學(xué)》2013年碩士論文

【摘要】：信用違約互換是金融機(jī)構(gòu)進(jìn)行信用風(fēng)險(xiǎn)管理的表外工具,是信用衍生品種交易量最大的產(chǎn)品。信用違約互換定價(jià)模型也成為了國(guó)內(nèi)外學(xué)者研究的焦點(diǎn)。2010年中國(guó)版信用違約互換-信用風(fēng)險(xiǎn)緩釋工具(CRM)推出以來(lái)發(fā)展緩慢,定價(jià)模型的不完善成為CRM市場(chǎng)可持續(xù)發(fā)展的瓶頸之一。 籃式信用違約互換將多項(xiàng)資產(chǎn)作為一個(gè)組合進(jìn)行風(fēng)險(xiǎn)管理操作,能夠有效降低風(fēng)險(xiǎn)管理成本以及交易成本,有利于提高資產(chǎn)組合風(fēng)險(xiǎn)管理水平,成為近期衍生品市場(chǎng)發(fā)展最快的信用衍生品之一。本文利用混合Copula函數(shù)擬合違約時(shí)間的聯(lián)合分布,并將混合Copula函數(shù)引入籃式信用違約互換定價(jià)公式,建立基于混合Copula的籃式信用違約互換定價(jià)模型,為籃式信用違約互換定價(jià)提供方法和工具。 本文的主要工作： (1)構(gòu)建混合Copula函數(shù),并估計(jì)混合Copula模型參數(shù)。首先用兩階段極大似然法估計(jì)單個(gè)Copula函數(shù)的參數(shù)。再基于經(jīng)驗(yàn)Copula函數(shù)的最小距離法,估計(jì)混合Copula函數(shù)參數(shù),得到對(duì)違約分布尾部刻畫(huà)更精確的Copula函數(shù)模型。 (2)構(gòu)建基于混合Copula函數(shù)的籃式信用違約互換定價(jià)模型,并給出基于蒙特卡洛模擬法模擬多個(gè)資產(chǎn)違約時(shí)間的聯(lián)合分布的模擬步驟�；贑opula函數(shù)的隨機(jī)數(shù)模擬方法,在已知Copula函數(shù)參數(shù)的情形下,模擬N個(gè)未來(lái)違約時(shí)間的可能情況,進(jìn)而得到籃式信用違約互換第k次違約時(shí)間的數(shù)值解。 本文的主要特色和創(chuàng)新： (1)構(gòu)建混合Copula度量資產(chǎn)間非線性相依結(jié)構(gòu)。本文構(gòu)建一個(gè)基于三類(lèi)阿基米德Copula的線性組合函數(shù),即混合Copula函數(shù)。本文基于三種常用阿基米德Copula構(gòu)建一種計(jì)算相對(duì)簡(jiǎn)單,分布形態(tài)靈活的混合Copula函數(shù),并用混合Copula函數(shù)度量多個(gè)資產(chǎn)的違約相關(guān)性,不僅避免線性相關(guān)系數(shù)不能度量非線性相關(guān)的缺陷,而且避免了采用橢圓Copula函數(shù)對(duì)尾部相關(guān)刻畫(huà)不足的問(wèn)題。 (2)將混合Copula參數(shù)估計(jì)分為三個(gè)步驟,運(yùn)用最小距離法選擇與經(jīng)驗(yàn)Copula擬合度最好的混合Copula,降低直接估計(jì)多個(gè)參數(shù)的難度。
[Abstract]:Credit default swaps (CDS) are off-balance sheet instruments for credit risk management in financial institutions, and they are the products with the largest trading volume of credit derivatives. Credit default swap pricing model has also become the focus of scholars at home and abroad. China version of credit default swaps-credit risk mitigation tool (CRM) has been slow to develop since its launch in 2010. The imperfection of pricing model has become one of the bottlenecks in the sustainable development of CRM market. Basket credit default swaps can effectively reduce the risk management cost and transaction cost and improve the risk management level of asset portfolio by using multiple assets as a portfolio to carry out risk management operations. It has become one of the fastest growing credit derivatives in the recent derivatives market. In this paper, the mixed Copula function is used to fit the joint distribution of default time, and the hybrid Copula function is introduced into the basket credit default swap pricing formula to establish the basket credit default swap pricing model based on mixed Copula. To provide the method and the tool for the basket type credit default swap pricing. The main work of this paper is as follows: (1) the mixed Copula function is constructed and the parameters of the mixed Copula model are estimated. First, the parameters of a single Copula function are estimated by the two-stage maximum likelihood method. Then, based on the least distance method of empirical Copula function, the parameters of mixed Copula function are estimated, and a more accurate Copula function model is obtained. (2) A basket credit default swap pricing model based on mixed Copula function is constructed. The simulation steps of simulating the joint distribution of multiple asset default times based on Monte Carlo simulation method are also given. Based on the random number simulation method of Copula function, the possible cases of N future default times are simulated under the condition of known Copula function parameters, and the numerical solution of the k-th default time of basket credit default swaps is obtained. The main features and innovations of this paper are as follows: (1) constructing a mixed Copula structure to measure the nonlinear dependence between assets. In this paper, we construct a linear combination function based on three kinds of Archimedes Copula, that is, mixed Copula function. Based on three kinds of commonly used Archimedes Copula, this paper constructs a hybrid Copula function with relatively simple calculation and flexible distribution, and uses the mixed Copula function to measure the default correlation of multiple assets. Not only to avoid the defect that linear correlation coefficient can not measure nonlinear correlation, but also to avoid the problem of using elliptical Copula function to depict tail correlation. (2) the mixed Copula parameter estimation is divided into three steps. The minimum distance method is used to select the mixed Copula with the best fitting degree of empirical Copula, which reduces the difficulty of directly estimating multiple parameters.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 張亞斌;馮睿;;信用違約互換定價(jià)機(jī)制的缺陷與金融危機(jī)的產(chǎn)生[J];財(cái)經(jīng)理論與實(shí)踐;2009年06期

2 王濤;梁進(jìn);;基于Vasicek模型的一籃子CDS定價(jià)公式解的局限性和有效性[J];系統(tǒng)工程;2009年05期

3 王樂(lè)樂(lè);邊保軍;李琳;;基于信用等級(jí)遷移的信用違約互換定價(jià)[J];同濟(jì)大學(xué)學(xué)報(bào)(自然科學(xué)版);2010年04期

4 陳正聲;秦學(xué)志;王s，

本文編號(hào)：2057450