资本估值调整与交易对手风险管理研究--基于跳扩散过程的偏微分方程  

Capital Valuation Adjustment and Counterparty Risk Management——Based on Partial Differential Equation of Jump Diffusion Process

作　　者：赵胜民 冯美芳 ZHAO Shengmin;FENG Meifang

机构地区：[1]南开大学金融学院 [2]南开大学金融学院中国特色社会主义经济建设协同创新中心

出　　处：《金融监管研究》2020年第4期20-31,共12页Financial Regulation Research

基　　金：教育部社科项目“我国宏观审慎政策协调问题研究”(15YJA790090)的资助。

摘　　要：本文基于场外衍生品市场资产价格跳跃行为以及随机波动两大风险因素并存的特征,研究了交易合约资本成本的估值调整问题。具体思路如下:首先,通过半复制法建立一个引入资本的对冲投资组合策略;然后,根据交易合约价值与其无风险价值两个偏微分方程的差值导出估值调整的偏微分方程;最后,通过Feynman-Kac公式推导出总估值调整的计算表达式,进而分解出资本估值调整计算表达式。本文提出的资本估值调整计算模型,可使衍生品合约价值的价格得到进一步修正,为资产定价拓展了新的研究领域,也为推动估值调整的发展提供了新思路。This paper studies the valuation adjustment of the cost of trading contract capital based on the characteristics of the coexistence of asset price jump behavior and random fluctuation in the OTC derivatives market.The main work and innovation include:Firstly,a hedging portfolio strategy that involves capital is established by semi-replication method.Then the partial differential equation of valuation adjustment is derived on the basis of the difference between the derivative trading contract value and its risk-free value.Finally,the expression of the total valuation adjustment is derived by the Feynman-Kac formula,and the expression of the capital valuation adjustment is given.The calculation of the capital valuation adjustment makes the price of the derivative contract value more reasonable and expands new research fields for asset pricing and provides new ideas for promoting the development of valuation adjustment.

关 键 词：资本成本 资本估值调整 偏微分方程 跳扩散过程 

分 类 号：F830[经济管理—金融学]