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

作　　者：杨星[1,2] 胡国强[1] 蒋金良[2] 

机构地区：[1]暨南大学经济学院/金融研究所,广东广州510630 [2]华南理工大学广州学院经济学院,广东广州510800

出　　处：《控制理论与应用》2016年第1期47-53,共7页Control Theory & Applications

基　　金：国家社会科学基金项目(11BGJ013)资助~~

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.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.

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 

分 类 号：F830.91[经济管理—金融学]