摘要
传统的CDO根据无套利原理,将信用风险的保险费和违约后的回收金额两个现金流进行复制得出定价,注重金融市场局部均衡.然而无套利均衡定价的思路只针对存在套利机会的资产市场的局部均衡,使得该均衡与基础资产的联系不强.而一般均衡分析,可以引入实体经济的因素,有利于防止CDO定价的泡沫风险.因此文章在CDO定价中引入实体经济要素,证明一般均衡下CDO定价相比无套利定价有更丰富更敏感的风险刻画能力.实证结果发现,一般均衡定价相当于无套利定价加上修正项,且在高风险时期两者价差高于低风险时期,这是由于无套利定价忽略了实体经济的风险.因此CDO产品的无套利定价很可能存在着泡沫而导致资源配置扭曲.最后,文章认为CDO可以预防定价风险,用于解决地方政府债务问题,并提出相关的风险控制建议.
Traditionally, according to no-arbitrage principle, we copy the cash flows of insurance premium and recovery amount of credit risk to get the price, which focus on partial equilibrium of financial market. However, no-arbitrage principle aims at partial equilibrium of asset market existing arbitrage opportunity, which results in weakness relationship between the price and basic assets. Comparatively, we can bring in facts of real economy to prevent bubble of CDO. It is found that pricing in general equilibrium could rich and precisely depict risk more than pricing in noarbitrage. The empirical results tell us that price of CDO in general equilibrium equals to that in no-arbitrage added a correction term and the gap during high risk period is bigger than that in low risk period, which mainly due to ignoring risk of real economy. Thus, price of CDO in no-arbitrage probably exists bubble and results in distortion of the allocation of resources. Lastly, we propose that CDO could be used to prevent pricing risk and resolve the problem of debt of local government and give some advises on controlling risk.
出处
《系统科学与数学》
CSCD
北大核心
2016年第4期528-550,共23页
Journal of Systems Science and Mathematical Sciences
基金
福建省社会科学规划项目(2010B051)资助课题
关键词
一般均衡
金融危机
CDO.
general equilibrium, financial crisis, CDO.
