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1、信贷衍生产品：建模和计算,Credit Derivatives,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理,2023/2/23,引言,风险市场（credit risk market)公司债券信贷衍生产品(credit der
2、ivatives)一种能把信贷风险从基础资产中剥离出来，便于交易和管理的衍生工具基本功能：风险有效转换，聚集，分散和重新包装,2023/2/23,信贷衍生产品的增长,Source:ISDA,2023/2/23,市场的参与者,Source:BBA 2003/2004 survey,2023/2/23,市场的参与者,2023/2/23,信贷衍生产品的创新,Source:BBA 2003/2004 survey,2023/2/23,交易的产品？,信贷违约互换(Credit Default Swap,CDS)完全收益互换(Total Return Swap,TRS)信贷短期债券(Credit Link
3、ed Note,CLN)信贷组合互换/债券First-to-default basket,nth-to-default basket信贷组合批次债券信贷产品创新Option,futures,indices,constant maturity etc.,2023/2/23,市场最新发展,CDS matching and confirmationStandardisation of documentationTradable Credit fixingsMarket regulation,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（R
4、egulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理,2023/2/23,信贷违约互换(CDS),信贷溢价 credit spread,2023/2/23,信贷短期债券(CLN),Special Purpose Vehicle(SPV),息票+到期本金（没有违约）,6%+100,100（开始时）,3.6%+100,100（开始时）,利率互换,2.4%,CDS,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(He
5、dge)风险管理,2023/2/23,信贷组合第一个违约互换(FTD),2023/2/23,Senior Class A,CreditTranchedSecurities,SpecialPurposeVehicle,衍生债务抵押债券(CDO),Diversified Pool of,typically,fixed income assets,Credit Risk Transfer through:-Cash“True Sale”-Synthetic using“Credit Default Swaps”,Assets may comprise:Investment Grade Bonds/L
6、oans HY Bonds Leveraged Loans Emerging Market Debt ABS/MBS,Assets,Liabilities,Transfer,Credit Risk Transfer for:-Balance Sheet Management-Credit Arbitrage,Mezzanine Class B/C/D,Subordinated,The above is indicative capital structure only,AAA,AA toBBB,NotRated,Ratings,CDO:Collateralized“Debt”Obligatio
7、ns,more encompassingterm than other terms such as CBO(“Bonds”)and CLOs(“Loans”),2023/2/23,衍生债务抵押债券的特点,Efficient Portfolio Diversification ToolGain Access to Assets,Otherwise Difficult to AccessChoose Tranche depending upon Risk AppetiteCustomized“Portfolio”meets Investors RequirementsHigher Spread t
8、han similarly Rated AssetsInvestors receive higher spread premium relative to single name investments for a similar level of risk,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复杂信贷产品定价，计算技术和对冲(Hedge)风险管理,2023/2/23,CDS公平溢价,违约概率(p)恢复率(recovery rate)CDS 现金流,2023/2/23,Semi
9、-analytic Model for STCDO,n obligorsRandom vector of default time:1,nJoint Distribution and Survival functions:F(t1,tn)=Q(1t1,n tn)S(t1,tn)=Q(1t1,n tn)Q pricing measureF1,Fn;S1,Sn;marginal distribution and survival functionsCopula function C:F(t1,tn)=C(F1(t1),Fn(tn)Ei nominal;i recovery rate;Mi=Ei*i
10、 loss given default;A latent factor V such that conditionally on V,default times are indep:pti|V=Q(i t|V)cond default prob;qti|V=Q(i t|V)cond survival prob;So cond joint survival prob:S(t1,tn|V)=qtii|V,2023/2/23,STCDO(continued),Aggregated loss process:L(t)=Mi Ni(t)Ni(t)-default indicator processPV
11、of default leg=E(L(t)-K)+,where K is the tranches attachmentSemi-analytic techniques applied for the computation of loss expection FFT and recursiveHow to represent default time?,2023/2/23,David Lis 1-factor model,Gaussian vector,v1,vn,Gaussian cdf,2023/2/23,Stochastic Correlation,Correlation parame
12、ters,2023/2/23,Student t Copula,W-independent from the 2nd part and an inverse Gamma distribution with parameters equal to v/2.V,-independent Gaussian random variables.,-the distribution function of the standard univariate Student t,2023/2/23,Double t Copula,Proposed recently by Hull&White(2004)Late
13、nt variables:,Default time:,2023/2/23,Clayton Copula,Consider a positive random variable V(1-fatcor),std.Gamma distribution withShape parameter of,Independent uniform random variables also independent from V,Default time.,2023/2/23,摘要,引言信贷产品法规和文档(Legal and Documentation)行业规范（Regulatory environment)复
14、杂信贷产品定价，计算技术和对冲(Hedge)风险管理,2023/2/23,市场风险管理(market risk),Credit VaRInterest rate risk monitor,2023/2/23,信贷风险管理(credit risk),多维性信贷风险控制信贷证券组合的风险分析,2023/2/23,国内金融资产结构,国内金融市场融资结构(2003)贷款 3万亿(85%);直接融资 5340亿(15%):股票、国债、企业债券 直接金融(2003 12515亿）政府债券比重：6280亿元（占比50.2）政策性银行金融债发行4520亿元（占比36.1）股票发行1357亿元（占比10.8）企业债券发行量358亿元（占比2.9）,2023/2/23,2003年直接融资比重,2023/2/23,CD离我们有多远？,建立风险产品交易市场 周小川：国有商行改制后如何抑制不良贷款增长(2004-07-26 中国经济周刊)吴晓灵:稳步发展企业债券市场 优化金融资产结构(2005-01，第九届中国资本市场论坛）苏宁：科学规划 统筹安排 积极推进中国债券市场发展（2005年6月26日首届中国债券市场论坛）周小川：吸取教训 以利再战（2005年10月20日中国债券市场发展高峰会）,2023/2/23,Q&A,
