系统信用事件与信用违约互换估值研究

System credit events and the valuation of credit default swaps

中文关键词  信用违约互换  系统信用事件  关联违约  双边交易对手风险

英文关键词  credit default swap  system credit events  associated default  bilateral counterparty risk

中文摘要

      本文以系统信用事件为载体, 研究了双边交易对手风险下信用违约互换(credit default swap, CDS)的估值, 研究表明: 1) 完备的信用事件组将形成一个信用风险系统, 并可作为CDS估值的基础; 2) 在CDS估值中, 买方违约 的可能性是不可以忽略的. 如果忽略, 将产生一个错误的定价, 并且这个错误的定价将低于真实价值而使信用保护 的卖方受到损失; 3) CDS交易中的替换成本是不可以忽略的, 由于替换成本的存在, CDS合约的价值会发生超常变 化, 其变化幅度取决于合约当前的市场价格; 4) CDS合约价格对参考资产信用价差十分敏感, 信用价差的变化, 将 会显著改变合约的价格.

英文摘要

      Taking system credit events as the carrier, we study the valuation of credit default swap adjusted by bilateral counterparty risk. Our study shows that: 1) a complete credit event set will form a system of credit risk and can be used as a valuation basis for credit default swaps (CDS); 2) in the CDS valuation, the default risk of buyer cannot be ignored. If it happens, a wrong price will emerge. Since the wrong price is lower than the reasonable one, the credit-protected seller will sustain losses; 3) the replacement cost of CDS deal cannot be ignored either. Because of the existence of the replacement cost, the value of CDS contracts will produce a supernormal change, depending on the current market price of the contract; 4) the price of CDS is very sensitive to the credit value difference of the reference assets; the credit value difference will cause significant change in the price of CDS.