我国CMBS业务违约风险测算和回购期权定价

我国开展CMBS业务蓄势待发.违约风险量化是CMBS业务中的重要环节,在互换框架下量化CMBS违约风险的过程中,基于双方现金流现值创新性采用互换期权定价公式,对几何分数布朗运动下的回购期权进行定价.结合我国房地产和证券市场数据,采用蒙特卡洛算法求得CMBS违约风险、双方现金流现值与回购期权价格.结果显示未来租金波动率的增加将加速提高投资者面临的违约风险,导致回购期权价格加速下降.模型为CMBS信用评级与风险管理提供技术保障.     

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本文讨论了信用衍生产品之一的总收益互换的定价问题. 其中涉及到利率风险和违约风险, 本文利用HJM利率模型来刻画利率风险, 并利用强度模型和混合模型对违约风险进行建模. 分别考虑了违约时间与利率无关时总收益互换合约的定价问题, 以及违约时间与利率相关时总收益互换合约的定价问题, 给出了相应的定价模型, 并用蒙特卡罗模拟方法得到定价问题的数值解.     

利用传染模型对含有对手风险的信用证券定价(英文)

本文利用传染模型研究了可违约债券和含有对手风险的信用违约互换的定价。我们在约化模型中引入具有违约相关性的传染模型,该模型假设违约过程的强度依赖于由随机微分方程驱动的随机利率过程和交易对手的违约过程.本文模型可视为Jarrow和Yu(2001)及Hao和Ye(2011)中模型的推广.进一步地,我们利用随机指数的性质导出了可违约债券和含有对手风险的信用违约互换的定价公式并进行了数值分析.     

基于无套利模型的人民币利率互换定价

基于两种代表性无套利模型——Black-Derman-Toy(BDT)和Hull-White模型,构建考虑单向违约风险的人民币利率互换定价模型。运用这两种定价模型对1年期3MSHIBOR-IRS进行定价,对两种定价模型的定价结果进行敏感性分析。结果表明,两种定价模型表现出定价偏离的一致性,基于BDT模型比基于Hull-White模型的定价结果与报价的差距更小。     

金融危机下中美两国利率互换市场的特征及互动性分析

以2008～2009年中美两国利率互换市场的日交易数据为样本,分析比较了影响两国利率互换利差的主要因素,进而实证研究了危机期间中美两国利率互换市场的动态互动效应。结果表明:两国利率的水平和利率期限结构斜率是影响互换利差的主要因素,另外,中国的流动性溢价和美国的违约溢价对互换利差的影响也较为显著;研究发现:中美两国互换利差均受对方市场因素的影响,特别地,在金融危机期间,中美两国利率互换市场间存在着明显的互动效应,一方面,美国利率互换市场信息能够对中国利率互换市场产生较强的冲击,虽然冲击的程度受制于美国的经济状况;另一方面,中国市场对美国市场也形成了一定的反向冲击,且程度受制于中国的货币政策。     

有传染违约相关情形下信用违约互换的估价

在回收率非零的情况下,研究了信用违约互换的参照资产和保护卖方有传染违约相关时信用违约互换的定价问题.相关传染违约结构由双方相关的违约强度描述,即一方的违约会导致另一方的违约强度的增加.利用参照资产与保护卖方违约停时的联合概率分布,得到了信用违约互换价格的精确表达式,并且分析了清算期和回收率对清算风险价格和替换成本的影响.数值化的结果说明,在信用违约互换的定价中,不仅不能忽视参照资产对保护卖方违约的影响,还不能忽视清算期和回收率对信用违约互换价格的影响.如果在定价信用违约互换时不考虑回收率,即假定回收率为零时,会严重高估信用违约互换的价格.     

约化模型中含有对手风险的信用违约互换定价

在约化模型中研究了含有对手风险的信用违约互换的定价问题.通过构建信用违约互换买方、卖方和参考资产之间的衰减传染结构,借助于测度变换的方法分别导出了含有单边和双边对手风险的信用违约的定价表达式.     

基于区间数DEA的贷款定价模型研究

在贷款的买方市场或充分竞争的金融环境中,贷款利率不会由银行自己说了算,因此建立银企双方共同接受的贷款利率定价模型在现实中尤为重要。本文采用区间数的形式反映存款利息支出率、违约风险补偿率等定价指标的不确定性,以已结清贷款最小定价效率、最大定价效率组成的贷款定价效率区间为目标,以新贷款的贷款利率为决策变量,通过逆向求解区间数DEA模型反推出新贷款的贷款利率区间,建立了基于区间数DEA的贷款定价模型。本文的创新与特色一是以已结清贷款的存款利息支出率、目标利润率等指标为输入,以已结清贷款的贷款利率为输出,利用DEA模型求得已结清贷款的实际最小效率及最大效率。二是以银企双方均可接受的贷款定价效率区间为目标、以新贷款的存款利息支出率等用区间数形式表示的贷款成本为投入,反推出贷款利率的取值区间。三是通过区间数形式来反映违约风险补偿率、目标利润率等定价指标的不确定性,改变了现有研究将目标利润、贷款费用、违约损失等变量看作常数来定价的不合理现状。研究表明:存款利息支出率、费用支出率、违约风险补偿率及目标利润率均与贷款利率成正比。企业提高在贷款银行中的资金结算比率、存贷比率可以降低贷款利率。     

基于双因子CIR强度式定价的信用债券投资组合优化

信用风险和利率风险是相互关联影响的。资产组合优化不能将这两种风险单独考虑或简单的相加,应该进行整体的风险控制,不然会造成投资风险的低估。本文的主要工作:一是在强度式定价模型的框架下,分别利用CIR随机利率模型刻画利率风险因素“无风险利率”和信用风险因素“违约强度”的随机动态变化,衡量在两类风险共同影响下信用债券的市场价值,从而构建CRRA型投资效用函数。以CRRA型投资效用函数最大化作为目标函数,同时控制利率和信用两类风险。弥补了现有研究中仅单独考虑信用风险或利率风险、无法对两种风险进行整体控制的弊端。二是将无风险利率作为影响违约强度的一个因子,利用“无风险利率因子”和“纯信用因子”的双因子CIR模型拟合违约强度,考虑了市场利率变化对于债券违约强度的影响,反映两种风险的相关性。使得投资组合模型中既同时考虑了信用风险和利率风险、又考虑了两种风险的交互影响。避免在优化资产组合时忽略两种风险间相关性、可能造成风险低估的问题。     

金融租赁公司流动性风险研究

为研究金融租赁公司流动性风险,本文首次建立租赁公司现金流过程的多期动态模型,利用该模型定量分析了初始备付金、到期借款续借率和回收租金三个变量对公司流动性风险的影响。随后用违约概率来度量流动性风险,将问题转化成求解状态空间不断增大的非齐次马尔可夫链首中时的概率分布,并设计出违约算法(DA)和蒙特卡洛方法(MC)两种求解首中时分布的算法。算例表明提高初始备付金额度、到期借款续借率以及租金额度能有效地降低流动性风险。最后将银行的存贷利率和不同的租金定价方法融入基本模型,并通过三种不同的租金定价方式进一步分析了承租人信用风险对金融租赁公司流动性风险的影响。     

Interest rate swap pricing with default risk under variance gamma process

Under the assumption that the dynamic assets price follows the variance gamma process, we establish a new bilateral pricing model of interest rate swap by integrating the reduced form model for swap pricing and the structural model for default risk measurement. Our pricing model preserves the simplicity of the reduced form model and also considers the dynamic evolution of the counterparty assets price by incorporating with the structural model for default risk measurement. We divide the swap pricing framework into two parts, simplifying the pricing model relatively. Simulation results show that, for a one year interest rate swap, a bond spread of one hundred basis points implies a swap credit spread about 0.1054 basis point.     

Pricing model of interest rate swap with a bilateral default risk

Under the foundation of Duffie & Huang (1996) [7], this paper integrates the reduced form model and the structure model for a default risk measure, giving rise to a new pricing model of interest rate swap with a bilateral default risk. This model avoids the shortcomings of ignoring the dynamic movements of the firm’s assets of the reduced form model but adds only a little complexity and simplifies the pricing formula significantly when compared with Li (1998) [10]. With the help of the Crank-Nicholson difference method, we give the numerical solutions of the new model to study the default risk effects on the swap rate. We find that for a one year interest rate swap with the coupon paid per quarter, the variance of the default fixed rate payer decreases from 0.1 to 0.01 only causing about a 1.35%’s increase in the swap rate. This is consistent with previous results.     

A multiple-curve HJM model of interbank risk

In the aftermath of the 2007?C2009 financial crisis, a variety of spreads have developed between quantities that had been essentially the same until then, notably LIBOR?COIS spreads, LIBOR?COIS swap spreads, and basis swap spreads. By the end of 2011, with the sovereign credit crisis, these spreads were again significant. In this paper we study the valuation of LIBOR interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and LIBOR curves. Towards this end we resort to a defaultable HJM methodology, in which these spreads are explained by an implied default intensity of the LIBOR contributing banks, possibly in conjunction with an additional liquidity factor. Markovian short rate specifications are given in the form of an extended CIR and a Lévy Hull?CWhite model for a risk-free short rate and a LIBOR short spread. The use of Lévy drivers leads to the more parsimonious specification. Numerical values of the FRA spreads and the basis swap spreads computed with the latter largely cover the ranges of values observed even at the peak of the 2007?C2009 crisis.     

A pricing model for secondary market yield based floating rate notes subject to default risk

The purpose of this article is to price secondary market yield based floating rate notes (SMY-FRNs) subject to default risk. SMY-FRNs are derivatives on the default-free term structure of interest rates, on the term structures for default-risky credit classes, and on the structure of a determined pool of bonds. The main problem in SMY-FRN pricing (as compared to the pricing of standard interest rate or credit derivatives) is market incompleteness, which makes traditional no-arbitrage pricing by replication fail. In general, SMY-FRNs are subject to two types of default risk. First, the SMY-FRN issuer may go bankrupt (direct default risk). Second, the possibility of the bankruptcy of the issuers in the underlying pool has an influence on the SMY-FRN coupons (indirect default risk). This article is the first one which provides a no-arbitrage pricing model for SMY-FRNs with direct and indirect default risks. It is also the first article applying incomplete market pricing methodology to SMY-FRNs.     

Restructuring risk in credit default swaps: An empirical analysis

This paper estimates the price for restructuring risk in the US corporate bond market during 1999–2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%–8% of the swap rate without restructuring. We show that the restructuring premium depends on firm-specific balance-sheet and macroeconomic variables. And, when default swap rates without a restructuring event increase, the increase in restructuring premia is higher for low-credit-quality firms than for high-credit-quality firms. We propose a reduced-form arbitrage-free model for pricing default swaps that explicitly incorporates the distinction between restructuring and default events. A case study illustrating the model’s implementation is provided.     

Estimation and evaluation of the term structure of credit default swaps: An empirical study

Chen, Cheng, Fabozzi and Liu [Chen, Ren-Raw, Cheng, Xiaolin, Fabozzi, Frank, Liu, Bo, 2008. An explicit, multi- factor credit default swap pricing model with correlated factors. J. Financial Quantitative Anal. 43 (1), 123-160] provide an explicit solution to the value of the credit default swap when the interest rate and the hazard rate are correlated. They also provide empirical evidence to support the model with transaction prices. In this paper, we extend their empirical work to study the term structure of CDS spreads by using a matrix CDS dataset from J. P. Morgan Chase. Matrix data contain interpolated prices based on traders’ expectations, which are often criticized as being “unreal”. However, the benefit of this matrix dataset is that it contains the entire credit spread curves, which allows us to understand the cross-sectional variation of the credit risk. The empirical results show that the parameters of the model are highly significant and it captures most of the cross-sectional as well as time series variation.     

Unilateral counterparty risk valuation of CDS using a regime-switching intensity model

We consider the unilateral credit valuation adjustment (CVA) of a credit default swap (CDS) under a contagion model with regime-switching interacting intensities. The model assumes that the interest rate, the recovery, and the default intensities of the protection seller and the reference entity are all influenced by macro-economy described by a homogeneous Markov chain. By using the idea of “change of measure” and some formulas for the Laplace transforms of the integrated intensity processes, we derive the semi-analytical formulas for the joint distribution of the default times and the unilateral CVA of a CDS.