中国信用风险缓释工具设计与定价实证研究  

Design and empirical research of pricing of China credit risk mitigation tool

作　　者：任达[1] 赵倩倩[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《系统工程学报》2013年第4期480-487,共8页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71131007)

摘　　要：研究中国信用违约互换的交易流程、合约设计和定价问题,基于人民币信用衍生品市场,完善了Jarrow-Turnbull约化模型并配置参数,最后运用模型进行具体的实例计算.研究发现,同期限国债或央票利率作为定价的基准利率较为恰当,模型计算得出的理论价格与市场报价比较接近.进一步验证了定价方法的科学性和可行性,为我国市场上流通的信用产品的定价及合约现金流测算提供了理论依据.Based on the characteristics of the RMB credit derivatives market,the article discussed the transaction processes,contract design and pricing issues of China credit default swaps,and improved on the Jarrow-Turnbull model by configuring the parameters and making empirical calculations.It shows that the interest rates of treasury bonds or central bank bills are suitable to be used as the benchmark interest rate and the theoretical price calculated is close to the market price.The empirical study verifies the correctness and feasibility of the pricing model,which can provide a theoretical basis for pricing products in circulation and calculation of contract cash flows.

关 键 词：信用违约互换 信用风险 中国信用风险缓释工具定价 违约概率 

分 类 号：F832.5[经济管理—金融学]