摘要
交易对手间违约行为的相互影响,通常被衍生产品定价模型所忽略。针对该问题,提出了非线性环形违约强度模型的构造方法,并将其分别应用于CDS与欧式期权定价中。分析结果表明:当考虑环形违约相关及市场风险因素对交易双方违约强度的共同影响时,模型得到的具有非线性变化趋势的CDS利差与期权价格均低于已有模型的结果,表明交易对手间环形违约行为的相互影响蕴含着更高的信用风险,而上述2类衍生品的传统定价方法均高估了相应的价值。并且发现:考虑交易对手违约相关性的期权定价模型对于违约概率和回收率的敏感性均强于已有模型。
The interactive impact of default behavior between rivals is often overlooked by derivatives pricing models. To take this issue into consideration, a nonlinear looping default intensity model is proposed and is applied to the valuation of CDS and vulnerable European option. The results show that the nonlinear CDS spread and the option price are lower than those of classical ones, respectively, when the combined effect of both looping correlated default and market risk is considered. This implies that looping default behavior between rivals contains higher risk exposure. Moreover, the classical pricing methods of abovementioned two types of derivatives overestimate their values, and the sensitivity of option pricing model with rival correlated default risk for default probability or recovery rate is higher than that of the classical model.
出处
《系统管理学报》
CSSCI
北大核心
2011年第2期151-160,共10页
Journal of Systems & Management
基金
国家自然科学基金资助项目(70771018)
教育部人文社科基金资助项目(05JA630005)
教育部博士点基金资助项目(20090041110009)
