我国CMBS业务违约风险测算和回购期权定价

Default Risk Quantification and Buy-Back Option Pricing of China CMBS Business

我国开展CMBS业务蓄势待发.违约风险量化是CMBS业务中的重要环节,在互换框架下量化CMBS违约风险的过程中,基于双方现金流现值创新性采用互换期权定价公式,对几何分数布朗运动下的回购期权进行定价.结合我国房地产和证券市场数据,采用蒙特卡洛算法求得CMBS违约风险、双方现金流现值与回购期权价格.结果显示未来租金波动率的增加将加速提高投资者面临的违约风险,导致回购期权价格加速下降.模型为CMBS信用评级与风险管理提供技术保障.

CMBS is poised for issuance in China. Default risk quantification is an essential part in CMBS business. Given the swap frame in which the default risk quantification process, based on two traders＇ present value of cash flows, the swap pricing formula based on Geometric Fractional Brownian motion is innovatively used, to price Buy-back option. With reference to China real estate and securities market data, Monte Carlo simulation is used to calculate CMBS default risk, the traders＇ present values of cash flows and Buy-back option premium. Results indicate that the increase of volatility of rental rate will increase the default risk investors encounter with faster increasing speed rate of risk. Also, default risk increasing will further decrease Buy-back option premium with progressively faster increasing speed rate of premium. The model proposed here provides technological guarantee for credit rating and the construction of market transaction mechanism.