系统信用事件与信用违约互换估值研究
System credit events and the valuation of credit default swaps

本文以系统信用事件为载体, 研究了双边交易对手风险下信用违约互换(credit default swap, CDS)的估值, 研究表明: 1) 完备的信用事件组将形成一个信用风险系统, 并可作为CDS估值的基础; 2) 在CDS估值中, 买方违约 的可能性是不可以忽略的. 如果忽略, 将产生一个错误的定价, 并且这个错误的定价将低于真实价值而使信用保护 的卖方受到损失; 3) CDS交易中的替换成本是不可以忽略的, 由于替换成本的存在, CDS合约的价值会发生超常变 化, 其变化幅度取决于合约当前的市场价格; 4) CDS合约价格对参考资产信用价差十分敏感, 信用价差的变化, 将 会显著改变合约的价格.
Taking system credit events as the carrier, we study the valuation of credit default swap adjusted by bilateral counterparty risk. Our study shows that: 1) a complete credit event set will form a system of credit risk and can be used as a valuation basis for credit default swaps (CDS); 2) in the CDS valuation, the default risk of buyer cannot be ignored. If it happens, a wrong price will emerge. Since the wrong price is lower than the reasonable one, the credit-protected seller will sustain losses; 3) the replacement cost of CDS deal cannot be ignored either. Because of the existence of the replacement cost, the value of CDS contracts will produce a supernormal change, depending on the current market price of the contract; 4) the price of CDS is very sensitive to the credit value difference of the reference assets; the credit value difference will cause significant change in the price of CDS.