| Hull-White模型在次级债定价中的应用研究 | |
| 石峰 ; SHI Feng | |
| 2010-05-14 ; 2010-05-14 | |
| 关键词 | 金融工程 信用风险定价 Hull-White模型 三叉树模拟 次级债产品 financial engineering,credit risk pricing Hull-White model trinomial tree simulation subprime debt products F810.5 F224 |
| 其他题名 | Application of Hull-White Model in Subordinated Debt |
| 中文摘要 | 美国次级债危机引起了全球金融市场的动荡,这使得国内外风险管理者们不得不更加关注由于信用风险带来的种种问题。在我国还没有一种公认的理论或方法能够实际解决信用风险的定价问题。本文力图寻找一种不完全依赖于信用评级的信用风险定价方法,利用市场即时信息而不是历史信息对信用风险溢价进行估算,从而寻找到一套在中国市场具有操作性的信用风险定价方法。本文应用三叉树模拟的方法来构建基于Hull-White模型的信用风险定价模型,并应用市场数据对两类次级债基础衍生品进行了定价。这一研究具有较好的可操作性,对中国信用风险定价研究领域提供了有利补充,为中国证券市场动态信用风险管理提供新的思路和可能的解决渠道。; The subprime debt crisis in the United States causes a global financial market turbulence,which makes domestic and international risk managers more concerned about the credit risk problems.This paper seeks to find a credit risk pricing methods,which is not entirely dependent on the credit rating.It uses market information rather than history information to estimate the credit risk premium,and tries to find a set of credit risk pricing menthod in the Chinese market.It mainly focuses on the application of the tree model method and builds a Hull-White based credit risk model.It also gives the pricing results of two basic subprime debt products with market data.This research has a better feasibility and it is a favorable complementarity of credit risk studies in China and provides a new way and a possible solution to dynamic credit risk management in the security market. |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/33280]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 石峰,SHI Feng. Hull-White模型在次级债定价中的应用研究[J],2010, 2010. |
| APA | 石峰,&SHI Feng.(2010).Hull-White模型在次级债定价中的应用研究.. |
| MLA | 石峰,et al."Hull-White模型在次级债定价中的应用研究".(2010). |
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