抵押资产组合对信用利差期限结构的影响分析被引量：1

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摘要在国际金融环境变化不断加剧、全球化进程不断深入的背景下,如何管理好信用风险是各国家所面临的重要问题。本文利用Merton结构式模型思想,考察了抵押资产组合对信用风险的分散与缓释作用,含有抵押资产组合的零息债券定价、信用违约和信用利差结构问题。研究结果表明,抵押资产与标的资产之间的相关性及波动率都影响违约概率和信用利差期限结构;有抵押时违约概率要小于无抵押时的违约概率;存在抵押资产组合时,零息债券的信用利差要小于无风险时的信用利差,抵押资产组合下的信用利差大于单一抵押资产下的信用利差;并且含有抵押资产组合的信用利差期限结构形状为L型曲线。

作者王雪标周生宝胡继真

机构地区东北财经大学数学与数量经济学院

出处《财经问题研究》 CSSCI 北大核心 2012年第11期44-51,共8页 Research On Financial and Economic Issues

基金国家自然科学基金项目"我国通胀预期和通胀风险溢价与宏观因子作用机制的计量研究"(71273044) 教育部人文社会科学一般研究项目"风险抵押组合与信用风险定价"(09YJA790028) 教育部人文社会科学重点研究基地重大项目"利率期限结构与货币政策效果:基于中国银行业的产业组织分析"(2009JJD790004)

关键词抵押资产组合利差期限结构信用违约信用价差

分类号 F832 [经济管理—金融学]

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参考文献20

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二级参考文献30

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