對市場風險、信用風險及利率風險的聯合模型校準

Joint Model Calibration of Market Risk, Credit Risk and Interest Rate Risk

戴慧欣(Hui-Hsin Tai)

指導教授 ： 韓傳祥

國立清華大學/科技管理學院/計量財務金融系/碩士(2012年)

https://doi.org/10.6843/NTHU.2012.00464

摘要

Recent literature has highlighted joint movements between Credit Default Swap (CDS) spread and stock price volatility (or stock option implied volatility). The impact of the credit risk factor on out-of-money stock option price is documented. Some dynamically consistent framework have been proposed for the joint evaluation and estimation of stock options and CDS spreads written on the same reference name in order to integrate both market information.

This thesis provides a new methodology for joint evaluation of stock option price, CDS spread and bond prices. A two-step Monte Carlo procedure is employed for calibration to the term structure of implied volatilities. An approximated default intensity rate under the reduced form model is employed for credit risk calibration. A closed-form of zero coupon bond price under Vasicek model is employed for interest rate risk calibration. Combinations of these calibration methods allow a robust and efficient estimation for the joint dynamics of risk factors from the equity market, the credit market and the bond market. Our investigation discloses the importance of cross-market information to fit the implied volatility surfaces by means of a joint dynamic model which include market risk, credit risk and the interest risk.

關鍵字

聯合模型校準 ； 隨機波動率模型 ； 違約強度 ； 利率風險 ； 蒙地卡羅法

並列摘要

無資料

並列關鍵字

joint model calibration ； stochastic volatility model ； default intensity ； interest rate risk ； Monte Carlo method

參考文獻

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[2] Berndt, A. and A. Ostrovnaya (2007). Information flow between credit default swap, option and equity markets. Working paper, Tepper Schoolof Business, Carnegie Mellon University

[3] Brigo, D. and A. Aurélien (2005) Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Finance Stochast (9),29–42.

[5] Carr, P. and L. Wu (2010). Stock options and Credit Default Swaps: a joint framework for valuation and estimation. Journal of Financial Econometrics 8 (4), 409-449.

[6] Chapovsky, A. , A. Rennie and P. A. C. Tavares.(2006). Stochastic intensity modelling for structured credit exotics. International Journal of Theoretical and Applied Finance, 10, 4: 633-652