摘要
在现代金融市场中,衍生品扮演极其重要的角色。随着场外衍生品的不断创新、交易规模的不断扩大,出现一系列诸如信用风险、融资费用及初始保证金成本的合理评估问题。从多重价值调整(X Valuation Adjustments,XVAs)的角度出发,结合随机波动率模型,研究金融衍生品的信用风险、融资费用及初始保证金成本的管理问题。首先,根据复制法,结合随机波动率模型,构建关于衍生品交易合约的对冲投资组合策略;其次,利用对冲原理和伊藤引理,推导出衍生品交易合约多重价值调整满足的偏微分方程;最后,运用Feynman-Kac公式,推导出涵盖资产价格波动率风险的多重价值调整模型。研究发现,资产价格的波动率风险是影响多重价值调整的重要因素,故将波动率风险纳入金融衍生品的多重价值调整理论体系中,以提高多重价值调整模型对报价修正的准确性。结合随机波动率模型所得到的研究结论,不仅补充完善了资产价格波动率风险对多重价值调整影响的研究,还为金融市场中信用风险、融资费用及初始保证金成本的风险管理提供了新的理论支撑。
Derivatives play a very important role in the modern financial market.With the continuous innovation of OTC derivatives and the constant expansion of trading scale,a series of problems such as credit risk,funding costs and margin costs have emerged.The valuation adjustment models can not only estimate the counterparty credit risk of both parties in the derivatives trading contracts,but also calcu late the funding cost generated by transaction capital and initial margin in the trading cycle.Therefore,dealers usually include these valuation adjustments calculated by the model of valuation adjustment in the price of derivatives trading contracts before their quotations,so as to manage the value of credit risks,funding costs,margin financial capital costs and other components that cannot be accurately depicted by pricing models.The valuation adjustment model,as an advanced method to identify and manage the credit risk,funding costs,capital requirements and other component values embedded in the contract value of financial derivatives,has begun to receive widespread attention,but the research on valuation adjustment is still in the exploratory stage in both academic and practical circles.This article studies the management of credit risk,funding cost and initial margin cost of financial derivatives from the perspective of X valuation adjustments(XVAs),combined with stochastic volatility model.Firstly,according to the replication method,a hedging portfolio strategy for derivative trading contracts combined with the stochastic volatility model is build.Secondly,using the hedging principle and Ito lemma,the partial differential equation satisfied by the valuation adjustments of derivative trading contracts is derived.Finally,using Feynman-Kac formula,the valuation adjustments model of financial derivatives covering the risk of asset price volatility is derived.And the stochastic volatility characteristic of asset prices is incorporated into the derivatives valuation adjustment system,captures volatility risk through the
作者
赵胜民
冯美芳
ZHAO Shengmin;FENG Meifang(School of Finance,Nankai University,Tianjin 300350,China)
出处
《统计与信息论坛》
北大核心
2023年第10期35-45,共11页
Journal of Statistics and Information
基金
教育部人文社会科学研究青年基金项目“服务财政救灾支出缺口的财政巨灾指数保险:风险责任度量和实现机制研究”(22YJC790034)。
