信用衍生品定价及潜在风险研究综述

A Review of Studies on Priciog and Potential Risk of Credit Derivatives

20世纪90年代以来信用衍生品迅速发展,已成为重要的风险管理工具。其蕴含的潜在风险与相关定价方法发展相互影响,共同构成信用衍生品理论研究的核心内容。现有研究成果主要集中在以下三方面:(1)信用衍生品定价问题,包括单名产品定价和多名产品定价;(2)潜在风险则包括借款人或贷款人的道德风险、柠檬问题等;(3)宏观研究则涉及信用衍生品对货币政策的影响以及信用衍生品市场同其他信用衍生市场的相互影响。

Credit derivatives have developed rapidly into a kind of important tool of risk management since 1990s. The interaction between the potential risk of credit derivatives and their pricing method is the core field of theoretical research of credit derivatives. Current studies are mainly concerned with the following three aspects ： （ 1 ） pricing of credit derivatives, including single-name pricing and multi-name pricing; （2） potential risk, including ethical risks of creditor and ＂lemon＂ problem; and （ 3 ） macroresearch, including credit derivatives＇ influence upon monetary policy and the interactive influence between credit derivative market and other credit markets.