抵押資產(chǎn)組合對信用利差期限結(jié)構(gòu)的影響分析
發(fā)布時間：2018-10-29 14:21
【摘要】：在國際金融環(huán)境變化不斷加劇、全球化進程不斷深入的背景下,如何管理好信用風(fēng)險是各國家所面臨的重要問題。本文利用Merton結(jié)構(gòu)式模型思想,考察了抵押資產(chǎn)組合對信用風(fēng)險的分散與緩釋作用,含有抵押資產(chǎn)組合的零息債券定價、信用違約和信用利差結(jié)構(gòu)問題。研究結(jié)果表明,抵押資產(chǎn)與標的資產(chǎn)之間的相關(guān)性及波動率都影響違約概率和信用利差期限結(jié)構(gòu);有抵押時違約概率要小于無抵押時的違約概率;存在抵押資產(chǎn)組合時,零息債券的信用利差要小于無風(fēng)險時的信用利差,抵押資產(chǎn)組合下的信用利差大于單一抵押資產(chǎn)下的信用利差;并且含有抵押資產(chǎn)組合的信用利差期限結(jié)構(gòu)形狀為L型曲線。
[Abstract]:Under the background of the change of international financial environment and the deepening of globalization, how to manage credit risk well is an important problem that every country faces. Based on the idea of Merton structural model, this paper investigates the dispersion and slow release of credit risk caused by mortgage portfolio, the pricing of zero interest bond with mortgage asset portfolio, credit default and credit spread structure. The results show that the correlation and volatility between mortgage assets and underlying assets affect the default probability and the term structure of credit spreads, and the default probability of mortgage is smaller than that of unsecured assets. When there is a portfolio of mortgage assets, the credit spread of zero-interest bonds is smaller than that of risk-free bonds, and the credit spread under the portfolio of mortgage assets is larger than that under a single mortgage asset. And the term structure of credit spread with mortgage portfolio is L-shaped curve.
【作者單位】： 東北財經(jīng)大學(xué)數(shù)學(xué)與數(shù)量經(jīng)濟學(xué)院;
【基金】：國家自然科學(xué)基金項目“我國通脹預(yù)期和通脹風(fēng)險溢價與宏觀因子作用機制的計量研究”(71273044) 教育部人文社會科學(xué)一般研究項目“風(fēng)險抵押組合與信用風(fēng)險定價”(09YJA790028) 教育部人文社會科學(xué)重點研究基地重大項目“利率期限結(jié)構(gòu)與貨幣政策效果:基于中國銀行業(yè)的產(chǎn)業(yè)組織分析”(2009JJD790004)
【分類號】：F224;F830
本文編號：2297940
[Abstract]:Under the background of the change of international financial environment and the deepening of globalization, how to manage credit risk well is an important problem that every country faces. Based on the idea of Merton structural model, this paper investigates the dispersion and slow release of credit risk caused by mortgage portfolio, the pricing of zero interest bond with mortgage asset portfolio, credit default and credit spread structure. The results show that the correlation and volatility between mortgage assets and underlying assets affect the default probability and the term structure of credit spreads, and the default probability of mortgage is smaller than that of unsecured assets. When there is a portfolio of mortgage assets, the credit spread of zero-interest bonds is smaller than that of risk-free bonds, and the credit spread under the portfolio of mortgage assets is larger than that under a single mortgage asset. And the term structure of credit spread with mortgage portfolio is L-shaped curve.
【作者單位】： 東北財經(jīng)大學(xué)數(shù)學(xué)與數(shù)量經(jīng)濟學(xué)院;
【基金】：國家自然科學(xué)基金項目“我國通脹預(yù)期和通脹風(fēng)險溢價與宏觀因子作用機制的計量研究”(71273044) 教育部人文社會科學(xué)一般研究項目“風(fēng)險抵押組合與信用風(fēng)險定價”(09YJA790028) 教育部人文社會科學(xué)重點研究基地重大項目“利率期限結(jié)構(gòu)與貨幣政策效果:基于中國銀行業(yè)的產(chǎn)業(yè)組織分析”(2009JJD790004)
【分類號】：F224;F830
【共引文獻】
相關(guān)博士學(xué)位論文 前1條
1 荊偉;商業(yè)銀行信用風(fēng)險計量與管理研究[D];吉林大學(xué);2006年
相關(guān)碩士學(xué)位論文 前6條
1 葉琳;我國住房抵押貸款的風(fēng)險緩釋體系研究[D];暨南大學(xué);2005年
2 周旋;我國住房抵押貸款證券化的障礙及對策研究[D];山東大學(xué);2006年
3 陳靜;含有信用風(fēng)險的債券及期權(quán)定價問題研究[D];南京理工大學(xué);2006年
4 邵年;房地產(chǎn)開發(fā)貸款的違約風(fēng)險模型[D];南京理工大學(xué);2006年
5 鄧太杏;商業(yè)銀行貸款風(fēng)險定價模型研究[D];湖南大學(xué);2006年
6 李可;我國商業(yè)銀行貸款定價問題分析[D];西南財經(jīng)大學(xué);2007年
，本文編號：2297940
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