| 信用风险缓释凭证市场探讨及定价分析 |
| |
| 引用本文： | 白贞贞,;王骋翔,;鲍群芳,;黄文礼,;陶祥兴.信用风险缓释凭证市场探讨及定价分析[J].宁波大学学报(理工版),2014(3):63-68. |
| |
| 作者姓名： | 白贞贞 ;王骋翔 ;鲍群芳 ;黄文礼 ;陶祥兴 |
| |
| 作者单位： | [1]宁波大学理学院,浙江宁波315211; [2]浙江大学理学部,浙江杭州310027; [3]中国科学技术大学统计与金融系,安徽合肥230026; [4]浙江科技学院理学院,浙江杭州310023 |
| |
| 基金项目： | 国家自然科学基金（60874083）. |
| |
| 摘 要： | 通过对试点期间8只CRMW产品的市场介绍和定价分析,运用约化模型,给出CRMW的定价公式;影响定价的关键因素主要包括标的债务信用曲线适当选取和违约回收率的估计.通过剥离法,从市场收益率数据中剥离标的债务信用曲线.最后结合实际数据,实证得出市场CRMW报价普遍偏低.
|
| 关 键 词： | 信用风险缓释凭证 信用违约互换 衍生品定价 |
Credit Risk Mitigation Warrant Market and CRMW Pricing |
| |
| Affiliation: | BAI Zhen-zhen, WANG Cheng-xiang, BAO Qun-fang, HUANG Wen-li, TAO Xiang-xing ( 1.Faculty of Science, Ningbo University, Ningbo 315211, China; 2.Faculty of Science, Zhejiang University, Hangzhou 310027, China; 3.Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China; 4.Institute of Applied Mathematics, Zhejiang University of Science and Technology, Hangzhou 310023, China ) |
| |
| Abstract: | Through introduction to and pricing for the eight CRMW products launched during the period of pilot business, and using reduced form model, the CRMW’s pricing method is formulated. Key factors for CRMW pricing are properly chosen of credit curve and estimation of recovery rate for underlying obligation. The CRMW can be effectively valued with credit curve bootstrapped from market yield data. Combined with the real data, the market consensus on undervaluation of CRMW is confirmed. |
| |
| Keywords: | credit risk mitigation warrant credit default swap derivative pricing |
| 本文献已被 CNKI 维普 等数据库收录！ |
|
