信用风险缓释工具定价研究.pdf

首届学术论坛优秀论文选
信用风险缓释工具定价研究
张张强强吴敏吴敏
((湖南大学金融与统计学院,湖南湖南大学金融与统计学院,湖南长沙长沙 410079)410079)
摘要:通过对信用风险缓释工具定价进行研究得出:(1)CRM定价的主要影响因素包括无风险基准利率,标的债券的风
险敞口、违约概率、违约损失率和期限,以及CRM期限等。(2)同期国债利率和央行票据利率作为CRM的基准利率较为恰
当,且模型定价对不同期限、不同信用等级的CRM定价区分度较为合理,模型定价与CRM发行交易定价较为接近,适合我
国现阶段CRM产品定价。(3)可以从完善CRM定价基础数据库、探索CRM定价无风险基础利率、创新CRM标的债券评级制
度、引导CRM市场主体多元化和优化CRM市场做市商制度等方面提出CRM定价优化对策。
关键词:信用风险;风险缓释;风险定价;债券市场
Abstract: Based on the study of the pricing of credit risk mitigation tools, we obtained: (1) CRM pricing’s main factors include
risk-free interest rate, the underlying bond exposure, probability of default, loss given default rate and duration, and CRM
deadlines. (2) Treasury bill rate and central bank's benchmark interest rate as interest rates are more appropriate for CRM, and
pricing models for different period, different credit rating of CRM differentiation is more reasonable, model pricing is closed
to CRM issue transaction price, so it is suitable for our present CRM product pricing. (3) By improving the pricing database,
exploring CRM-based pricing of risk-free interest rate, innovating CRM underlying bond rating system to guide the CRM market
diversifi cation and optimize the CRM market maker system and other aspects, we could perfect the pricing strategies.
Keywords: credit risk, risk mitigation, risk pricing, bond market
作者简介:张强,女,湖南大学金融与统计学院教授、博士生导师,研究方向: