| 雎岚,施虓文.适用于中国的信用风险缓释工具定价模型[J].数量经济技术经济研究,2013,30(1):103-116 |
| 适用于中国的信用风险缓释工具定价模型 |
| A Study on the Pricing of CRM in China |
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| DOI： |
| 中文关键词: 信用风险缓释工具 信用违约风险 回复比率 定价模型 |
| 英文关键词: Credit Risk Mitigation Credit Default Risk Recovery Rate Pricing Model |
| 基金项目: |
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| 中文摘要: |
| 本文提出了一个全新的基于中国市场构造的信用风险缓释工具（Credit Risk Mitigation, CRM）定价模型。与传统信用风险定价模型相比，此模型在以下两个方面做出了重要改进：将CRM购买方的信用违约风险考虑在内；在回复比率历史数据缺失的情况下，利用标的债券的交易数据及标的主体的财务信息，通过Monte Carlo模拟，估计得到标的债务的隐含回复比率。基于此模型，我们进行了情景分析和参数敏感性检验，验证了该模型在理论和实证上的可靠性。 |
| 英文摘要: |
| We introduce a new pricing model for the credit risk mitigation （CRM） products traded in China. Comparing to the classical reduced form models, two major improvements are made: Credit default risks from the buyers are taken into account in our model; and we use reference firms’ reported financial data to estimate their implied recovery rates through Monte Carlo simulation. Extensive scenario analyses and sensitivity tests of parameters show that our model is solid in both theoretical and practical perspective. |
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