一般均衡下基于产品市场和资本市场的单名CDS定价

次贷危机呼吁新的信用衍生品定价模型, 因此为存在产品市场和资本市场的经济结构建立一般均衡的单名CDS定价模型, 使用最优化求解一般均衡下的商品价格和CDS价格. 可以发现一般均衡的CDS定价具有资本市场和产品市场的因素, 这表示CDS的价格不再是由单纯的资本市场因素决定的, 而是由无风险利率、资本产出弹性、违约率、回收率同时决定的. 通过数量约束用模拟的方式研究多个均衡的动态变化, 发现违约风险的增加使得价格剧烈波动且市场交易萎缩. 在为以中国工商银行为参考资产的CDS定价过程中, 发现各种因素在不同的时期都可能成为定价的主要影响因素. 可以发现, 次贷危机的定价体系存在着信用调整问题和定价与实体经济脱节的问题. 可以认为, 一般均衡下基于产品市场和资本市场的单名CDS定价可以囊括多个市场的交叉影响, 为衍生品定价提供一个新的方向.

The pricing of single-name CDS based on product market and capital market ingeneral equilibrium model

Sub-prime crisis calls for new pricing model of credit derivatives. So we propose a general equilibrium model with product market and capital market to price single-name CDS, and get the Walrasion equilibrium by means of optimization. It can be found that price of CDS in general equilibrium is mixed with factors of capital market and product market. So, it is not only that factors of capital market could affect price of CDS, but factors including risk-free rate, the output elasticity of capital, default rate and recovery rate. Then we examine the dynamics through quantity constrained equilibria out from Walrasion equilibrium by means of computer simulation, and find that price fluctuates acutely and quantity of transaction shrinks when default risk increases. In the process of pricing CDS with reference entity of Industrial and Commercial Bank of China (ICBC), it is found that each factor might be the key factor which affects price of CDS at different period. Lastly. It also can be found that there might be several problems in pricing system during sub-prime crisis, including adjustment of credit and disconnections of pricing and real economy. It can be considered that pricing of CDS based on product market and capital market in a general equilibrium model could mix cross effects of both market together and provide a direction for pricing of derivative.