基于违约强度的固定收益证券风险敏感性分析与压力测试被引量：5

The Sensitivity Analysis and Stress Test of Risks of Fixed Income Securities based on Default Intensity

导出

摘要固定收益证券存在单券投资和组合持仓规模较大的特殊性,势必面临着一定的市场风险、信用风险和流动性风险。本文通过实践方面的探索和尝试,改变了原有仅用收益率曲线平移的敏感性分析和压力测试方法,提出了利用基于违约强度的模型结合Vasicek利率模型的方法,以中债估值数据为例,对我国固定收益证券组合的市场(利率)风险和信用风险的敏感性分析和压力测试进行了检验。研究发现,在精确校准估值模型的前提下,均衡长期利率水平和均衡长期违约率越高,债券价格越低,均值回复速度越大和波动率越小,债券价格越低。 Fixed income securities have huge investment in single bond or portfolio, and are doomed to facecer tain market risk, credit risk and liquidity risk. On the basis of practice, the article adopts a new method, which is based on stochastic default intensity and Vasieek interest rate model, to conduct sensitivity analysis and stress test, instead of using the traditional method, which is parallel shift of yield curve. We use data of Chinabond prices to check out the sensitivity analysis and stress test of the market risk and credit risk of China＇s fixed income securities portfolios. With the accurately calibrated model, the result is that the higher the long term equilibrium interest rate and default rate are, the lower the bond price is; the lower the mean reversion rate and volatility rate is, the lower the bond price is.

作者张亮亮杨青熊国兵祁洁萍

机构地区光大证券风险管理部复旦大学经济学院金融研究院光大证券固定收益总部

出处《上海金融》 CSSCI 北大核心 2011年第2期83-87,共5页 Shanghai Finance

基金国家自然科学基金项目"基于消费者行为分析的网上支付风险管理与监管研究"(70702028)资助 "上海浦江人才计划"资助

关键词可违约企业债券随机违约强度 VASICEK模型敏感性分析压力测试 Defauhable Corporate Bond Stochastic Default Intensity , Vasicek Model Sensitivity Analysis Stress Test

分类号 F830.91 [经济管理—金融学]

引文网络
相关文献

参考文献10

1银监会.商业银行压力测试指引.2007年12月25日.
2潘坚,周香英.具有随机违约强度的公司债券定价模型[J].西北师范大学学报（自然科学版）,2009,45(5):27-33. 被引量：5
3Fisher Black, Myron Scholes. The pricing of options and corporate liabilities [J]. Journal of Political Economy, 1973, (81).
4Merton, Robert C. On the pricing of corporate debt: The risk structure of interest rates [J]. Journal of Finance, 1974, (29).
5Fischer Black, John C. Cox. Valuing corporate securities: Some effects of bond indenture provisions [J]. Journal of Finance, 1976, (31).
6Philippe Artzner, Freddy Delbaen. Default risk insurance and incomplete markets [J]. Mathematical Finance, 1995, (5).
7Jarrow Robert, Stuart M. Turnbull. Pricing derivatives on financial securities subject to credit risk [J]. Journal of Finance, 1995, (50).
8Duffle Darrell, Kenneth J. Singleton. Modeling term structures of defauhable bonds [J]. Review of Financial Studies, 1999, (12).
9Philipp Schonbucher, Credit Derivatives Pricing Models, John Wiley&Sons Ltd, ISBN10: 0-470-84291- 1, P165-223, 2005.
10马克·洛尔.金融风险管理手册.

二级参考文献10

1王琼,袁泽沛,冯宗宪.基于违约过程的企业债券定价模型研究[J].武汉理工大学学报（信息与管理工程版）,2006,28(2):104-107. 被引量：4
2MERTON R C. On the pricing of corporate debt: the risk structure of interest rates[J].Journal of Finance, 1974, 29: 449-470.
3BLACK F, COX J C. Valuing corporate securities: some effects of bonds indenture provisions [J ]. Journal of Finance, 1976, 31: 351-367.
4LONGSTAFF F A, SCHWARTZ E S. A simple approach to valuing risky fixed and float interest debt [J]. Journal of Finance, 1995, 50: 789-819.
5BRIYS De VARENNE. Valuing risky fixed rate debt: an extension[J]. Journal of Financial and Quantitative Analysis, 1997, 32: 230-248.
6JARROW R, TURNBULL S. Pricing derivatives on financial securities subject to credit risk[J]. Journal of Finance, 1995, 50(1):53-85.
7JARROW R, LANDO D, TURNBULL S. A Markov model for the term structure of credit risk spreads[J].Review of Financial Studies, 1997, 10: 481-523.
8DUFFIE D, SINGLETON K J. Modeling term structures of default bonds [J].Review of Financial Studies, 1999, 12(4): 687-720.
9WILLMOTT P. Derivatives: The Theory and Practice of Financial Engineering[M]. New York: John Wilely & Sons Ltd, 1999: 480-500.
10姜礼尚，陈亚浙．数学物理方程讲义[M]．北京：高等教育出版社．2003．25—28．