基于利差结构的信用违约互换研究

Concerns about CDS' overdevelopment, pricing drawback and risk management were significantly heightened after the financial crisis of 2007; while with the Euro-zone debt crisis, sovereign CDS draws more attention and discussions. Credit Risk Mitigation(CRM), an edition of Chinese CDS, was also introduced in Chinese market in 2010, how to accurately price and manage CRM nowadays have become a critically important task for both the Chinese government and investors. Under hypothesis of complete market, an exact arbitrage pricing relation exists among a combination of three instruments - a risky floating rate bond trading at par, a risk-free par floater of the same maturity, and a CDS contract of the same maturity that specifically references the risky bond. However, such perfect relationship is not exist in real world. So pricing models based on the above arbitrage relationship should be revised, and neglected risks before should be revaluated. The project will start from CDS spread' determinants, variation mechanism, and dynamics with its reference entity, using statistics, econometric models, theoretical analysis, model deduction and case study, discuss such questions on CDS as risks composition, pricing defects, risk spread, etc. Therefore, we can discuss how to improve trading mechanism and complete risk management. Furthermore, we will put forward a non-arbitrage equilibrium CDS reduced pricing model considering counterparty default risk, systematic risk and illiquidity premium, this research would be a development of the current pricing theory and models.

2007年的金融危机使得学术界对CDS相关产品的过度开发、定价缺陷以及风险管理进行反思；近年来欧洲各国主权债务危机的频发，又使得主权CDS在全球范围内备受瞩目。中国2010年推出了被誉为中国版CDS的信用风险缓释工具，其定价、交易以及风险管理也成为中国广大学者和实务部门关注的重要课题。在完备市场假设下,CDS及其标的债券和无风险证券之间存在无套利均衡。然而上述套利关系在现实中并不存在，基于该套利关系的定价模型需要进行修订，被忽略的风险来源需要被重估。本项目从研究CDS利差的决定因素、变动机制以及与标的债券市场的联动关系出发，通过计量经济模型、理论分析、模型推导和案例分析等手段，分析CDS的风险构成、定价缺陷、和风险传播等问题，探讨如何改进CDS市场交易制度和完善风险管理；在简约模型基础上，建立考虑对手违约风险、系统性风险和流动性溢价的CDS无套利均衡定价模型，发展现有的定价理论和模型。

2007年的金融危机使得学术界对CDS相关产品的过度开发、定价缺陷以及风险管理进行反思；近年来欧洲各国主权债务危机的频发，又使得主权CDS在全球范围内备受瞩目。中国2010年推出了被誉为中国版CDS的信用风险缓释工具，其定价、交易以及风险管理也成为中国广大学者和实务部门关注的重要课题。在完备市场假设下,CDS及其标的债券和无风险证券之间存在无套利均衡。然而上述套利关系在现实中并不存在，基于该套利关系的定价模型需要进行修订，被忽略的风险来源需要被重估。本项目从研究CDS利差的决定因素、变动机制以及与标的债券市场的联动关系出发，通过计量经济模型、理论分析、模型推导和案例分析等手段，从信用利差期限结构为研究视角，分析了CDS和相关信用市场的风险构成、定价缺陷、和信用风险传播等问题，探讨了如何改进CDS市场交易制度和完善风险管理；在简约模型基础上，探讨了适合我国市场特征的定价理论和模型。