信用违约风险传染模型的比较研究

本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免.     

Affine Models for Credit Risk Analysis

Continuous-time affine models have been recently introducedin the theoretical financial literature on credit risk. Theyprovide a coherent modeling, rather easy to implement, but havenot yet encountered the expected success among practitionersand regulators. This is likely due to a lack of flexibilityof these models, which often implied poor fit, especially comparedto more ad hoc approaches proposed by the industry. The aimof this article is to explain that this lack of flexibilityis mainly due to the continuous-time assumption. We developa discrete-time affine analysis of credit risk, explain howdifferent types of factors can be introduced to capture separatelythe term structure of default correlation, default heterogeneity,correlation between default, and loss-given-default; we alsoexplain why the factor dynamics are less constrained in discretetime and are able to reproduce complicated cycle effects. Thesemodels are finally used to derive a credit-VaR and various decompositionsof the spreads for corporate bonds or first-to-default basket.     

Sovereign to Corporate Risk Spillovers

The first Greek bailout on April 11, 2010 triggered a significant reevaluation of sovereign credit risk across Europe. We exploit this event to examine the transmission of sovereign to corporate credit risk. A 10% increase in sovereign credit risk raises corporate credit risk on average by 1.1% after the bailout. The evidence is suggestive of risk spillovers from sovereign to corporate credit risk through a financial and a fiscal channel, as the effects are more pronounced for firms that are bank or government dependent. We find no support for indirect risk transmission through a deterioration of macroeconomic fundamentals.     

Numerical Approach to Asset Pricing Models with Stochastic Differential Utility

In this paper employing two heuristic numerical schemes, we study the asset pricing models with stochastic differential utility (SDU), which is formulated by either of backward stochastic differential equations (BSDEs) or forward-backward stochastic differential equations (FBSDEs).The first scheme is based upon a traditional lattice algorithm of option pricing theories, involving the discretization scheme of coupled FBSDEs, which is combined with a technique of solving numerically a certain type of nonlinear equations with respect to the backward state variables. The second one is based upon the four step scheme of Ma et al. (1994) which solves quasi-linear partial differential equations associated with the FBSDEs. We demonstrate that our practical implementation algorithms can successfully solve the asset pricing models with generalized SDU and the large investor problem with market impact which are typical examples such that the usual four step scheme is difficult to implement. As other numerical applications we study the optimal consumption and investment policies of a representative agent with SDU, and the recoverability of preferences and beliefs from observed consumption data.     

Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity

We analyze the counterparty risk for credit default swaps using the Markov chain model of portfolio credit risk of multiple obligors with interacting default intensity processes. The default correlation between the protection seller and underlying entity is modeled by an increment in default intensity upon the occurrence of an external shock event. The arrival of the shock event is a Cox process whose stochastic intensity is assumed to follow an affine diffusion process with jumps. We examine how the correlated default risks between the protection seller and the underlying entity may affect the credit default premium in a credit default swap.     

Pricing of Defaultable Bonds with Log-Normal Spread: Development of the Model and an Application to Argentinean and Brazilian Bonds During the Argentine Crisis

In this paper we describe a two-factor model for a defaultable discount bond, assuming log-normal dynamics with bounded volatility for the instantaneous short rate spread. Under some simplified hypothesis, we obtain an explicit barrier-type solution for zero recovery and constant recovery. We also present a numerical application for Argentinean and Brazilian Sovereign Bonds during the default crisis of Argentina.JEL Classification: G 13     

A Model of Return Volatility with Application to Estimating Relative Risk Aversion

We estimate a monthly return volatility model that allows for the abrupt changes in volatility often observed in returns data. Using this model we are able to identify key months likely to correspond to draws from a high volatility regime. Using our model in conjunction with Merton's (1980) model relating expected risk premia to risk we obtain reasonable estimates of the coefficient of relative risk aversion.