信用贷款风险中反向CDS协议设计与定价模型  

Design and pricing model of the reverse CDS in credit loan risk

作　　者：庞素琳[1,2] 王立[1,2] 

机构地区：[1]暨南大学应急管理学院/管理学院金融工程研究所,广州510632 [2]广东省公共网络安全风险评价与预警应急技术研究中心,广州510632

出　　处：《管理科学学报》2016年第6期114-124,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71173089);广东省科技计划资助项目(1311220800027;2016A020224001)

摘　　要：在信用违约互换(CDS协议)的基础上,提出了反向信用违约互换(RCDS)协议,以规避信用贷款风险.首先定义反向CDS协议,然后对反向CDS协议的定价合约进行设计,探讨反向CDS协议的风险"囚禁"原理;并在无套利的原则下,建立了含有未知违约概率的反向CDS协议定价模型;再进一步通过假设贷款企业的资产价值运动由一个布朗运动和若干个互相独立的泊松过程合成的复合泊松过程,在风险中性测度下,建立了资产价值运动的布朗运动和复合泊松过程随机微分方程,以此求出违约概率,并最终求出反向CDS协议定价公式.最后,通过数值分析,讨论了信用贷款利率、反向CDS价格、贷款期限、违约概率以及初始资产与违约边界之比等因素之间的相互影响关系,给出了相应风险规避方法的结论和建议.本文研究对实际应用具有很好的参考价值.Based on the credit default swaps （CDS）agreement, this paper proposes a reverse credit default swap （RCDS） agreement to avoid credit loan risk. It defines the reverse CDS agreement, designs the pricing contracts about the reverse CDS agreement, and discusses the risk ＂captivity＂ principle about the reverse CDS agreement. Under the no arbitrage principles, the paper establishes a reverse CDS agreement pricing model with unknown default probability. Assuming the asset value movements of a corporation abides by a Brownian motion and a compound Poisson process with the synthesis of a plurality of independent Poisson process, under the risk neutral measure, the paper establishes a stochastic differential equation about the asset value move- ments of the corporation with both Brownian motion and the compound Poisson process. The default probability and the reverse CDS agreement pricing formula are derived. Finally, through a numerical analysis, it discusses the relationship between interest rates, reverse CDS prices, loan terms, default probabilities, the ratio of the initial assets over default boundary and other factors. Corresponding risk avoiding measures are given. The research has a good reference value for the practical applications.

关 键 词：信用违约互换(CDS) 反向CDS协议 定价模型 违约概率 布朗运动 复合泊松过程 

分 类 号：F830[经济管理—金融学]