信息披露扭曲下企业债券违约风险量化研究

信息披露的真实性会直接影响到投资者对企业债券违约风险自々判断。利用信息噪声的偏倚性捕获财务报告信息中对资产价值的故意扭曲,推导了信息偏误下资产价值的条件分布、违约概率和信用价差的解析表达式.数值分析表明当资产价值遭到不同方向的扭曲时,信息噪声与违约概率会表现出不同的变动关系。实证检验表明该模型可以较为准确的刻画财务信息扭曲造成的债券违约风险和信用价差的变化规律。该模型为理解债券违约风险和财务报告信息扭曲之间的关系提供了新的启发,可以帮助债券投资者在信息披露问题比较严重的市场环境中评估违约风险。     

约化模型中含有交易对手信用风险的可转换债券的定价

本文在约化模型中研究了含有交易对手信用风险的可转换债券的定价问题.我们假设市场中可转换债券的违约强度过程和无风险利率过程均满足Vasicek模型,通过引入测度变换的方法导出了该模型中可转换债券的定价表达式.此外,我们通过数值分析展示了模型的参数变化对可转换债券价值的影响.     

基于贝叶斯方法的低违约组合违约率估计

现代信用风险建模的核心是估计违约率,违约率估计是否准确将直接影响信用风险建模的质量。在估计违约率的众多文献中,频率法或logistic回归等统计方法的运用非常广泛,此类统计模型的基础是大样本,它客观上需要最低数量或最优数量的违约数据,而低违约组合(LDP)是指只有很少违约数据甚至没有违约数据的组合,如何估计LDP的违约率、反映违约率的非预期波动是一个值得关注的现实问题。本文针对银行贷款LDP缺乏足够历史违约数据的情况,采用贝叶斯方法估计LDP的违约率,并进一步探讨了根据专家判断或者根据同类银行LDP违约数量的历史数据来确定先验分布的方法。在贝叶斯估计中,通过先验分布的设定,不仅可以实现违约率估计的科学性和合理性,而且可以反映违约的非预期波动,有助于银行实施谨慎稳健的风险管理。     

具有违约观察期公司债券的定价

借助于美国破产保护法第十一章,违约公司获得-个额外的违约观察期过程,通过纳什均衡原理对股东和债权人的利益进行重新分配,利用巴黎型期权的定价思想来刻画具有这种违约观察期过程的股票与公司债券的定价模型,并从股东权益最大化,把股票的定价模型归结为-个自由边界问题,进而通过偏微分方程方法(PDE)推出股票与公司偾券价格的闭合表达式和最佳违约边界解的显式表达式;同时文章还对公司的最优杠杆,清算概率和信用利差进行讨论.     

基于正态逆高斯分布的篮子违约互换定价

主要讨论单因子模型的篮子型信用违约互换定价.目的是寻找一个快捷的方法来处理违约相关问题.采用了正态逆高斯分布对违约时间进行建模,得到了违约时间分布和篮子违约互换定价公式的半分析表达式,进一步地讨论了常数因子荷载扩展到随机因子荷载的情形.最后用数值模拟方法对比了正态分布和正态逆高斯分布两种模型下首次违约互换的价格.     

双指数跳扩散模型信用违约互换短期价格研究

假设参考实体没违约时信用违约互换保护买方连续支付互换价格,导出了信用违约互换价格的表达式;对标的资产价值服从双指数跳扩散模型,得到了条件违约风险率和信用违约互换的短期价格极限.这些结果比纯扩散模型假设更符合实际.     

允许提前违约的信用衍生产品定价模型

本文运用随机过程中的反射原理 ,停时分布以及障碍期权的定价思想扩展了 Merton( 1 975 )提出的信用衍生产品定价模型 ,对允许提前违约且标的资产间具有相关性的信用衍生产品进行定价 ,并给出了该定价模型的解析解     

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.     

一篮子信用违约互换定价的偏微分方程方法

通过对一篮子信用违约互换的结构性分析,在约化法框架下,用PDE方法提出一个新的计算具有违约相关性的多个公司联合生存概率的方法,在此基础上得到信用互换到期之前一篮子中违约数量的概率分布.应用这个概率分布,在条件独立的假定下,先后建立了首次违约、二次违约的信用违约互换定价模型,并用PDE方法给出了定价的显性表达式,并进一步扩展到解决m次违约的信用违约互换的定价问题.     

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.     

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.     

An incentive-compatible solution for trade credit term incorporating default risk

This paper studies the optimal trade credit term decision in an extended economic ordering quantity (EOQ) framework that incorporates a default risk component. A principal-agent bilevel programming model with costs minimization objectives is set up to derive the incentive-compatible credit term. The supplier determines the credit term as the leader in the first level programming, by balancing her/his financing capacity with the retailer’s default risk, order behavior and cost shifting. At the second level, the retailer makes decisions on ordering and payment time by reacting on the term offered by the supplier. A first order condition solution procedure is derived for the bilevel programming when credit term is confined within the practically feasible interval. Two key results are obtained – the condition to derive incentive-compatible credit term, and an equation system to derive threshold default risk criterion filtering retailers suitable for credit granting. Numerical experiments show that the capital cost of the supplier is the most important factor determining the credit term. Default risk acts like a filtering criterion for selecting retailers suitable for credit granting. Empirical evidence supporting our theoretical considerations is obtained by estimating three panel econometric models, using a dataset from China’s listed companies.     

A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes

The contagion credit risk model is used to describe the contagion effect among different financial institutions. Under such a model, the default intensities are driven not only by the common risk factors, but also by the defaults of other considered firms. In this paper, we consider a two-dimensional credit risk model with contagion and regime-switching. We assume that the default intensity of one firm will jump when the other firm defaults and that the intensity is controlled by a Vasicek model with the coefficients allowed to switch in different regimes before the default of other firm. By changing measure, we derive the marginal distributions and the joint distribution for default times. We obtain some closed form results for pricing the fair spreads of the first and the second to default credit default swaps (CDSs). Numerical results are presented to show the impacts of the model parameters on the fair spreads.     

Multiscale Intensity Models for Single Name Credit Derivatives

We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity‐based models. We use regular and singular perturbation expansions on the intensity of default from which we derive approximations for the pricing functions of these derivatives. In particular, we assume an Ornstein‐Uhlenbeck process for the interest rate, and a two‐factor diffusion model for the intensity of default. The approximation allows for computational efficiency in calibrating the model. Finally, empirical evidence on the existence of multiple scales is presented by the calibration of the model on corporate yield curves.     

Pricing catastrophe options with counterparty credit risk in a reduced form model

In this paper, we study the price of catastrophe options with counterparty credit risk in a reduced form model. We assume that the loss process is generated by a doubly stochastic Poisson process, the share price process is modeled through a jump-diffusion process which is correlated to the loss process, the interest rate process and the default intensity process are modeled through the Vasicek model. We derive the closed form formulae for pricing catastrophe options in a reduced form model. Furthermore, we make some numerical analysis on the explicit formulae.     

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??This paper studies the price of convertible bonds with counterparty credit risk in a reduced-form model. We suppose that the default intensity process and the interest rate process follow the Vasicek model, and derive the price expression of convertible bonds using the method of measure changes. Moreover, we make some numerical analysis on the explicit formulae to demonstrate the sensitivity of a convertible bond price to changes in the parameters of the model.     

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.     

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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.     

General dynamic term structures under default risk

We consider the problem of modelling the term structure of defaultable bonds, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term in the forward rate approach by Heath et al. (1992). This term is driven by a random measure encoding information about those times where default can happen with positive probability. In this framework, we derive necessary and sufficient conditions for a reference probability measure to be a local martingale measure for the large financial market of credit risky bonds, also considering general recovery schemes.     

Decomposition of default probability under a structural credit risk model with jumps?

In this paper, we consider the default probabilities caused by a jump or by oscillation under a structural credit risk model with jumps. We study the Laplace transforms of the times of default caused by a jump and by oscillation. We derive integro-differential equations and obtain some closed-form expressions for them. By inverting them, we numerically investigate the contributions of the jump component and the diffusion component to the default under a certain choice of the jump size distribution.