一个多因子信用违约互换定价模型

考虑一个违约互换的多因子的简化模型,通过测度的转化并求解一个多变量Riccati常微分方程而得出了这个模型的解析解.此模型是Duffie-Pan-Singleton(2000)模型的特例,但是这个模型存在解析解,而Duffie-Pan-Singleton模型并不存在解析解.模型的解析解对获得直觉的判断和进行模型的计算都非常有帮助,而且模型的解析解对实证检验也是有帮助的.     

Valuing Credit Default Swap under a double exponential jump di?usion model简

This paper discusses the valuation of the Credit Default Swap based on a jump market, in which the asset price of a firm follows a double exponential jump diffusion process, the value of the debt is driven by a geometric Brownian motion, and the default barrier follows a continuous stochastic process. Using the Gaver-Stehfest algorithm and the non-arbitrage asset pricing theory, we give the default probability of the first passage time, and more, derive the price of the Credit Default Swap.     

组合类信用互换BDS的定价研究

由于组合类信用违约互换(BDS)的定价复杂性,目前没有统一的定价模型。基于风险中性定价原则,给出了mBDS公平保费的一个定价公式。应用Clayton Copula函数的来描述违约损失尾部相关的下尾特征,利用Kenclall秩相关系数τ来测度违约时间之间的非线性相关关系。在MC数值计算方面,应用重要性抽样技术来计算或有赔付的期望值E(Z_(pro)~(m))和定期支付的保费E(Z_(pre)~(m)),并进行了比较静态分析。另外数值分析结果表明,Copula函数的选择对估值具有显著影响,表明在衍生品的定价研究中要重视模型风险问题。     

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.     

农村信用社信贷违约识别模型及其应用

构建农村信用社信用风险模型对完善农村金融风险管理体系、提高农村信用社经营管理意义重大.基于还款意愿和还款能力两方面,系统分析了影响农信社贷款债务人违约率的主要因素,在此基础上应用logistic方法建立农信社债务人违约率预测模型,并通过Gini系数对模型区分能力和识别能力进行验证评估.实证结果表明,模型中债务人年龄、所在地区、贷款额所占家庭收入比例、与信用社信贷关系密切程度以及户口状况等因素都表现显著;违约率预测模型在样本内和样本外均有较好的违约识别能力,从而可为农信社放贷前的债务人信用评估、贷款发放和风险管理提供有力参考.     

双重违约风险下的银企共赢信用机理研究

本文以银企信贷关系为例，考虑主观和客观双重违约风险因素，在多渠道融资模式下得到信贷各方共赢博弈决策模型，并给出博弈均衡解。在此基础上，通过实证分析挖掘出双重信用风险影响下企业融资难问题的根源，给出解决方案。探索性地给出实现信贷系统共赢发展的有效策略集，并提出一定的政策建议。     

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.     

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     

文本信息在P2P借贷平台违约评价中的作用——基于Multinomial Lasso-logistic模型

选取Lending Club 2007年1月至2016年3月的交易数据,运用Multinomial Lasso-logistic模型得到影响平台违约的关键因素并预测了违约概率.结果表明,出借人实际借款的总额、借款利率等因素对违约有显著的影响,此外与以往研究不同的是,发现由借款人提供的借款描述和借款标题等文本信息与违约之间显著负相关,说明当借款人提供更多的文本信息,将表现出相对较低的违约率.研究结论补充了现有文献的不足,对P2P平台的监管和投资者的决策提供了借鉴意义.     

中国住房抵押贷款信用风险:理论分析与实证研究

住房抵押贷款为中国经济的持续增长增添了新的动力,随着规模扩大,其信用风险问题已经引起金融机构、政府部门及学者的关注.在分析中国房地产市场特点的基础上研究了适应中国住房抵押贷款违约的理论以及影响住房抵押贷款违约的因素,并通过采集大连市的数据进行了实证分析,首次运用实际数据来比选适应中国市场的理论模型.我们的研究发现:在中国住房抵押贷款市场上,贷款违约的还款能力理论较之于期权理论有着更好的适应性;利率、LTV、偿债比与户籍是影响住房抵押贷款违约的主要因素;也得出另外几个不同于理论假说的结论:家庭收入对借款人违约的影响力不明显,购买二手住房的借款人的违约概率要比新房高.     

违约强度由Lévy从属过程驱动的约化信用风险模型及信用违约互换的定价

本文引入一个约化信用风险模型,其中违约强度定义为从属过程,即非负增Lévy过程.用概率方法得到了违约时间分布的解析表达式.利用该解析表达式,给出了该信用风险模型下的信用违约互换(Credit Default Swaps)的闭形式的定价公式.     

中国企业债信用风险度量的实证研究

我们基于KMV模型以及Delianedis and Geske(2001)模型,对05国航债进行了信用风险度量分析.根据中国国航在2007年7月23日的收盘价和近三年的财务数据我们对05国航债的信用利差进行了实证分析,并就实证结果提出了自己的观点:由于我国的企业债不是信用债券,而是由国有商业银行担保的债券,因此2007年7月23日05国航债的利差估计值与实际利差的差额547.34个基点应该由担保银行——中国农业银行的信用所消化.     

Estimation for the change point of volatility in a stochastic differential equation

We consider a multidimensional Itô process Y=(Y_t)_t∈[0,T] with some unknown drift coefficient process b_t and volatility coefficient σ(X_t,θ) with covariate process X=(X_t)_t∈[0,T], the function σ(x,θ) being known up to θ∈Θ. For this model, we consider a change point problem for the parameter θ in the volatility component. The change is supposed to occur at some point t^∗∈(0,T). Given discrete time observations from the process (X,Y), we propose quasi-maximum likelihood estimation of the change point. We present the rate of convergence of the change point estimator and the limit theorems of the asymptotically mixed type.     

Effects of growth volatility on economic performance - Empirical evidence from Turkey

This paper examines the relationship between growth and growth volatility for a small open economy with high growth volatility: Turkey. Quarterly data for the period from 1987Q1 to 2007Q3 suggests that growth volatility reduces growth and that this result is robust under different specifications. This paper contributes to the literature by focusing on how growth volatility affects a set of variables that are crucial for growth. Empirical evidence from Turkey suggests that higher growth volatility reduces total factor productivity, investment, and the foreign currency value of local currency (depreciation). Moreover, it increases employment, though the evidence for this is not statistically significant.     

Empirical Bayes detection of a change in distribution

The problem of detection of a change in distribution is considered. Shiryayev (1963, Theory Probab. Appl., 8, pp. 22–46, 247–264 and 402–413; 1978, Optimal Stopping Rules, Springer, New York) solved the problem in a Bayesian framework assuming that the prior on the change point is Geometric (p). Shiryayev showed that the Bayes solution prescribes stopping as soon as the posterior probability of the change having occurred exceeds a fixed level. In this paper, a myopic policy is studied. An empirical Bayes stopping time is investigated for detecting a change in distribution when the prior is not completely known.Research was supported in part by the Natural Sciences and Engineering Research Council of Canada under grant GP 7987.     

Estimation of integrated volatility in stochastic volatility models

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the pth power variation (i.e. the sum of pth absolute powers of the log‐returns). We derive consistency and distributional results for the estimators given high‐frequency data, especially taking into account what kind of process we may add to our model without affecting the estimate of the integrated volatility. This may on the one hand be interpreted as a possible flexibility in modelling, for example adding jumps or even leaving the framework of semimartingales by adding a fractional Brownian motion, or on the other hand as robustness against model misspecification. We will discuss possible choices of p under different model assumptions and irregularly spaced data. Copyright © 2005 John Wiley & Sons, Ltd.     

Simulating student flow through a college of business for policy and structural change analysis

Under the pressure of sharp budget cuts and external demands for better performance, public institutions of higher education must examine how they can facilitate student graduation even as institutional resources diminish. This paper describes a computer model simulating the movement of undergraduates through a large, public college of business. The model allows changes in curriculum policy, prerequisite structure, and staffing capacity to be tested prior to implementation. Outcome measures focus primarily on the expected time to degree of two types of students who enter the university, first-time freshmen and upper division transfers, along with their respective 6-year and 4-year graduation rates. The validated model is used to experiment with both actual and potential scenarios facing the college and gauge their possible impact.     

Stochastic volatility model and technical analysis of stock price

In the stock market, some popular technical analysis indicators (e.g. Bollinger Bands, RSI, ROC, ...) are widely used by traders. They use the daily (hourly, weekly, ...) stock prices as samples of certain statistics and use the observed relative frequency to show the validity of those well-known indicators. However, those samples are not independent, so the classical sample survey theory does not apply. In earlier research, we discussed the law of large numbers related to those observations when one assumes Black-Scholes’ stock price model. In this paper, we extend the above results to the more popular stochastic volatility model.     

基于信用额度和外生违约概率的出口海陆仓融资质押率优化

质押率优化是出口海陆仓融资决策的核心内容。针对出口商信用、出口商与进口商外生违约以及质押物价值波动三重叠加风险下的出口海陆仓融资决策问题,在设定出口商信用额度,且给定出口商和进口商外生违约概率的前提下,依据双重Stackelberg博弈原理,以供应链协同均衡下的出口商、进口商和船公司的期望利润最大化为目标,建立了质押率与订货量及货物价格联动优化模型,设计了微分法和逆向归纳法求解模型。算例验证了模型和方法的适用性和有效性。敏感性分析结果表明质押率与出口商信用额度呈负相关关系,对出口商和进口商外生违约概率不敏感。研究结论可为出口海陆仓融资优化决策提供科学参考。     

Symmetry analysis of a model of stochastic volatility with time-dependent parameters

We provide the solutions for the Heston model of stochastic volatility when the parameters of the model are constant and when they are functions of time. In the former case, the solution follows immediately from the determination of the Lie point symmetries of the governing 1+1 evolution partial differential equation. This is not the situation in the latter case, but we are able to infer the essential structure of the required nonlocal symmetry from that of the autonomous problem and hence can present the solution to the nonautonomous problem. As in the case of the standard Black-Scholes problem the presence of time-dependent parameters is not a hindrance to the demonstration of a solution.