| 引用本文: | 杨星,胡国强,蒋金良.系统信用事件与信用违约互换估值研究[J].控制理论与应用,2016,33(1):47~53.[点击复制] |
| YANG Xing,HU Guo-qiang,JIANG Jin-liang.System credit events and the valuation of credit default swaps[J].Control Theory and Technology,2016,33(1):47~53.[点击复制] |
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| 系统信用事件与信用违约互换估值研究 |
| System credit events and the valuation of credit default swaps |
| 摘要点击 3046 全文点击 2182 投稿时间：2014-11-25 修订日期：2015-05-24 |
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| DOI编号 10.7641/CTA.2016.41092 |
| 2016,33(1):47-53 |
| 中文关键词 信用违约互换 系统信用事件 关联违约 双边交易对手风险 |
| 英文关键词 credit default swap system credit events associated default bilateral counterparty risk |
| 基金项目 国家社会科学基金项目(11BGJ013)资助. |
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| 中文摘要 |
| 本文以系统信用事件为载体, 研究了双边交易对手风险下信用违约互换(credit default swap, CDS)的估值,
研究表明: 1) 完备的信用事件组将形成一个信用风险系统, 并可作为CDS估值的基础; 2) 在CDS估值中, 买方违约
的可能性是不可以忽略的. 如果忽略, 将产生一个错误的定价, 并且这个错误的定价将低于真实价值而使信用保护
的卖方受到损失; 3) CDS交易中的替换成本是不可以忽略的, 由于替换成本的存在, CDS合约的价值会发生超常变
化, 其变化幅度取决于合约当前的市场价格; 4) CDS合约价格对参考资产信用价差十分敏感, 信用价差的变化, 将
会显著改变合约的价格. |
| 英文摘要 |
| Taking system credit events as the carrier, we study the valuation of credit default swap adjusted by bilateral
counterparty risk. Our study shows that: 1) a complete credit event set will form a system of credit risk and can be used as
a valuation basis for credit default swaps (CDS); 2) in the CDS valuation, the default risk of buyer cannot be ignored. If it
happens, a wrong price will emerge. Since the wrong price is lower than the reasonable one, the credit-protected seller will
sustain losses; 3) the replacement cost of CDS deal cannot be ignored either. Because of the existence of the replacement
cost, the value of CDS contracts will produce a supernormal change, depending on the current market price of the contract;
4) the price of CDS is very sensitive to the credit value difference of the reference assets; the credit value difference will
cause significant change in the price of CDS. |
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