基于最谨慎原则的信用衍生品定价模型及应用

A Credit Derivatives Pricing Model Using Most Prudent Principle and Its Application

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 most prudent principle in Basel II deals with the estimation problem for low default assets. This paper introduces the most prudent principle to estimate the probability of default. Combining with the random process of asset val- ue, a pricing model on credit derivatives products is built with a loss-given-default （LGD） following fi distribution. This model resolves the valuation problem for low default assets. Then the pricing model is applied to market data in China. The re- sults show that this pricing mode can reasonably and conservatively evaluate the credit risk of credit derivatives.