可违约零息债券风险综合度量Monte Carlo方法  

A Monte Carlo method of integrated risk measurement for defaultable zero-coupon bonds

作　　者：陈荣达[1] 陆金荣[1] 

机构地区：[1]浙江财经学院金融学院,杭州310018

出　　处：《管理科学学报》2012年第4期88-98,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71171176;70771099)

摘　　要：可违约零息债券同时面临着违约风险和市场风险(利率风险)这两类主要风险.相对于传统的不同类风险独立度量方法,也不同于割裂两类风险再进行加总或通过Copula函数关联,本文在信用风险强度定价模型的基础上,同时考虑信用风险、市场风险和两类风险之间的相关关系,建立了计算可违约零息债券综合风险VaR的Monte Carlo方法,得出同一个风险计算期下反映两类风险的损失分布和同一个某置信度的损失分布的分位点,进而能求得风险综合VaR值,这样可在同一个框架下同时捕捉可违约零息债券的两类风险,这里,给出了MonteCarlo模拟方法具体技术细节,包括违约时间和基础状态向量过程的模拟.最后运用本文的风险综合度量模型对短期融资券的综合风险进行计算,得出风险综合VaR值,并与利率风险独立度量VaR值和信用风险独立度量VaR值进行比较分析.Defaultable zero-coupon bonds face default risk and market risk（interest rate risk） simultaneously.Unlike the traditional approach of measuring different risks separately,two different types of risks fragmenting further totaling or the way to connect the two types of risks with Copula functions,this paper proposes a Monte Carlo method of calculating integrated-risk VaR for defaultable bonds under the frame of the intensity pricing model,considering credit risk,market risk and relation of the two types of risks.We find one loss distribution that reflects the two types of risks in a same risk horizon and one quantile with a same confidence level,furthermore,we can get integrated-risk VaR value and capture simultaneously the two types of risks of the defaultabe zero-coupon bond under the frame.The concrete technical detail for Monte Carlo simulations method is presented,including the simulation of default time and the basic state vector processes.Finally,we illustrate the application of the integrated-risk measurement model to compute the integrated-risk VaR of Short-term Commercial Paper,also,we measure the credit risk and the interest risk separately,and analyze comparatively the VaR values of the pure interest risk,pure credit risk and integrated-risk.

关 键 词：违约强度 风险综合度量 MONTE CARLO模拟 VaR 可违约零息债券 

分 类 号：F830.5[经济管理—金融学]