摘要
由于信息不对称、市场不完备以及数据不精确的原因,信用违约互换(CDS)定价的违约概率和回收率都具有不确定性.为了分析参数不确定性对CDS价格的影响,本文利用三角模糊数刻画这些参数的不确定性,构建了CDS模糊定价模型,研究CDS的定价问题.通过计算CDS买方预期支付的贴现值和预期收益的贴现值,利用风险中性定价原理和三角模糊数的运算法则,得到了CDS均衡溢价的解析表达式是一个三角模糊数,这不仅刻画了CDS价格的不确定性而且其隶属函数描述了决策者对不确定性的偏好程度.为了说明本文提出的CDS定价的不确定性方法比经典确定性方法更加合理,进行了相应数值算例比较.
It is well known that the parameters including the default probability and recover rate of the reference entities in credit default swap(CDS)are uncertain because that there are the asymmetry of the agent’s the information,the incompletion of the financial market and the un-precise data.The triangular fuzzy numbers are used to describe the uncertainty of the parameters in order to analyze the impact of this uncertainty on CDS prices by making the fuzzy CDS pricing model.The discounted values of the expected payoff and the ones of the expected return of CDS are calculated in terms of the risk-neutral pricing principal and the operations of triangular fuzzy numbers.As a result,the formulas of the CDS spread that is a triangular fuzzy number presenting the uncertainty of CDS’s the price and the decision maker’s the preference of uncertainty are obtained.Moreover,some numerical examples are given to illustrate the more reasonability of our uncertain method proposed in the paper than the one of the classical method with certainty.
作者
张茂军
柴过
ZHANG Maojun;CHAI Guo(School of Business,Suzhou University of Science and Technology,Suzhou 215009,Jiangsu,China)
出处
《汕头大学学报（自然科学版）》
2022年第3期58-68,共11页
Journal of Shantou University：Natural Science Edition
基金
国家自然科学基金资助项目(71961004,72061007)。
关键词
信用违约互换
三角模糊数
资产定价
不确定性
credit default swap
triangular fuzzy numbers
asset pricing
uncertainty
