金融危机与一般均衡视角下单名CDS定价

Financial Crisis and the Pricing of Single-name CDS in General Equilibrium

次贷危机很大程度上与信用衍生品的定价有关,且当前对信用衍生品的定价研究主要使用无套利原理。在单一框架下进行研究很可能对其定价产生盲点。本文使用一般均衡原理,建立产品市场和金融市场同时均衡下的单名CDS定价模型,发现一般均衡的定价结果已经包含了无套利定价结果。在敏感性分析中,将无套利定价与一般均衡定价进行对比,发现一般均衡定价有更丰富更准确的风险刻画能力。在情景模拟中,将金融危机时期和金融危机后无套利定价与一般均衡定价进行对比,发现一般均衡定价在金融危机时期与无套利定价差距较大,在正常时期差距较小,这也从侧面表明一般均衡定价对于无套利定价的完善和补充。

Subprime crisis had been considered to be relevant to the pricing of credit derivatives. Currently,methods of credit derivative pricing are based on no arbitrage principle. But researching in only one framework may result in blind spot. This paper builds a pricing model of single-name CDS in general equilibrium of production market and finance market. It finds that price of CDS in general equilibrium already contains price in no arbitrage principle. In sensitivity analysis,we compare the pricing of CDS in general equilibrium case and in no arbitrage case and find that price in general equilibrium can depict risk of CDS more sufficiently and accurately. In scenario simulation,we compare the pricing of CDS before and after the financial crisis in general equilibrium case and in no arbitrage case and find that gap of the pricing of CDS between them is bigger during the financial crisis but smaller after the financial crisis. This also reflects that pricing in general equilibrium case is an improvement to the pricing in no arbitrage case.