基于随机方法的场外金融衍生品风险度量

Risk Measurement of OTC Financial Derivatives Based on Stochastic Method

场外金融衍生品主要受市场风险和信用风险的综合影响,其风险的识别和度量具有复杂性,这为投资者风险管理带来一定的困难。文章以产品期限、利率水平和信用级别为风险因素,构建随机动态测控模型,并对模型进行检验和压力测试。结果表明:场外衍生品风险主要来源于市场利率和金融机构的信用级别,并呈现非线性变化;市场利率对长期收益和短期收益影响不同,期限越长,收益利差越小;信用等级对长期收益影响大,对短期收益影响小,期限越长,收益利差越大。

Over-the-counter(OTC) financial derivatives are mainly affected by market risk and credit risk, and the identification and measurement of their risk is complex, which brings certain difficulty to investors’ risk management. This paper takes the risk factors of product duration, interest rate level and credit rating as risk factors, and constructs a stochastic dynamic measurement and control model, with a check and stress test on the model. The results show that the OTC derivatives risk mainly comes from the market interest rate and the credit rating of financial institutions, and presents nonlinear changes;market interest rate has different effects on long-term earnings and short-term earnings, and to be exact: the longer the term, the smaller the yield spread;credit rating has a great influence on long-term earnings, but a small influence on short-term earnings, that is, the longer the term, the greater the yield spread.