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巴塞尔新资本协议提出最谨慎原则,针对违约数据较少的信用资产估值问题,提出了有效的解决方法。本文引入最谨慎原则估计违约率,采用资产价值波动过程,假设损失程度服从β分布,构建了适合我国市场的信用衍生品定价模型,处理低违约资产的信用风险估值问题。本文用我国债券市场数据对模型进行了实证分析,模型结果较为稳健,能合理反映信用衍生品的信用风险。
The Basel Capital Accord puts forward the most prudent principle and proposes an effective solution to the problem of the valuation of credit assets with less default data. This paper introduces the most cautious principle to estimate the default rate and adopts the asset value fluctuation process. Suppose the degree of loss obeys the β distribution, and builds the credit derivatives pricing model suitable for the Chinese market to deal with the credit risk valuation of low default assets. In this paper, empirical analysis of the model using the data of China’s bond market, the model results are more robust, can reasonably reflect the credit risk of credit derivatives.