基于马尔可夫转换模型的违约风险溢价预测研究  

Predicting Research on Default Risk Premium Based on Markov Switching Model

作　　者：赵峰[1] 张杰[1] 

机构地区：[1]山东科技大学经济管理学院,山东青岛266590

出　　处：《统计与信息论坛》2014年第5期54-60,共7页Journal of Statistics and Information

基　　金：山东省优秀中青年科学家科研基金项目<面向流数据分类转移估计的金融衍生产品风险预控研究>(BS2012SF024);全国统计科研重点基金项目<宏观经济统计数据质量定量诊断模型的构建及其实证评价>(2011LZ048)

摘　　要：针对违约风险溢价变化依赖于经济波动状态以及市场、宏观经济变量依赖于经济周期时变因素的阶段,基于马尔可夫转换阶段的具体特征,构建马尔可夫违约风险溢价预测转换模型,并以香港恒生指数信用违约互换波动为例,测算因时变系数波动的指数息差、宏观经济变量等概率,通过实证算例剖析股市、宏观经济变量与违约风险溢价之间的内在联动关系和信用违约风险溢价变化的转换机制,以期实现对违约风险溢价能够进行有效预测,实证仿真结果说明了模型的有效性。For default risk premium depending on the state of economic fluctuations,macroeconomic variables of markets depending on the stage and variable factors of the economic cycle,and the specific characteristics of Markov conversion phase,Markov switching model was constructed to examine the conversion mechanism of the credit default risk premium,and Hang-Seng Index（HSI）CDS volatility was taken as an example to estimate the statistical probabilities of the CDS index spreads,macroeconomic variables induced by the fluctuations of time-varying coefficients.Then the principle that default risk premium varies depending on the state of economic fluctuations was analyzed in light of the Markov switching model;the phases of economic cycle were also studied on market and macroeconomic variables in relation to the time-varying factors.The specific characteristics of each phase were checked in Markov switching model,and the inherent linkage was explored among the stock market,macroeconomic variables and default risk premium through empirical analysis.Finally,the default risk premium was effectively predicted.The simulation results prove the effectiveness of the model.

关 键 词：马尔可夫转换模型 违约风险溢价 信用违约互换 

分 类 号：O212.8[理学—概率论与数理统计]