考虑交易对手间三种违约相关情景下的CDS定价——基于单因子Copula模型的模拟

Valuation of CDS under Three Scenarios of Default Correlation based on the Simulation Analysis of Single Factor Copula Model

2008年金融危机中暴露出的交易对手违约相关风险,不仅使作为信用违约互换(CDS)交易对手方的Lehman Brothers,Bear Sterns和AIG等金融机构遭受了巨额损失,而且增加了金融市场的系统性风险。因此,考虑交易对手违约相关风险对合理定价CDS至关重要。基于单因子Copula模型框架,数值模拟分析了交易对手间3种不同违约相关情景下的CDS定价,在统一的框架内创新性地解决了信用保护卖方、买方和参考资产方的违约相关情况、违约强度、支付频率及回收率等因素对CDS定价的影响。结果表明:(1)保护卖方和参考资产方形成的违约相关对CDS定价的影响要强于交易三方违约相关的影响,各情景下的CDS价格明显不同;(2)随着保护买方支付频率的增加,3种情景下的CDS价格均逐渐降低;(3)参考资产方回收率的增加,会降低不同情景下的CDS价格且差异明显。

The counterparty default correlation risk in 2008 financial crisis not only made the Lehman Brothers bankrupt, and Bear Sterns and AIG nearly bankrupt, but also increased the systemic risk of the financial market. Based on one-factor Gaussian Copula model and simulation analysis, the effect of default correlation under three scenarios for CDS pricing is analyzed. The effect of default intensity, default correlation and recovery rate is studied as factors on CDS pricing with respect to protection seller, protection buyer and reference entity. The main findings are. （1） CDS prices are significantly different under three scenarios （2） the effect of the default risk from different counterparty on CDS price is different under each scenario （3） the effect of the recovery rate of reference entity on CDS price is significantly different under each scenario.