基于copla的债务抵押债券定价研究-金融学专业论文.docxVIP

删删．．．．u,．删n 删删．．．．u,．删nnH㈣II Il㈣lll ll栅ll 目 录 Y1 845391” 1．弓I言 ．．1 1．1选题背景及研究意义 1 1．2文献综述 2 1．2．1 国外研究现状 2 1．2．2 国内研究现状 6 1．3研究方法与内容安排 9 1．4创新与不足之处 ．．9 2．债务抵押债券的介绍 ．．11 2．1债务抵押债券的本质特性 11 2．2债务抵押债券的分类 ．13 2．3债务抵押债券的市场发展状况 ．15 2．3．1 国外市场发展状况 ．15 2．3．2 国内市场发展状况 一17 3．ⅪvⅣ模型与Copula函数及定价模型 ．19 3．1 KMV模型介绍 19 3．2 COPULA函数及违约时点的模拟 一20 3．2．1 copula的介绍 一20 3．2．2 copula的定义与性质 ．21 3．2．3 copula的分类 ．22 3．2．4违约时点的模拟 ．26 3．3债务抵押债券的定价机理 ．27 4．债务抵押债券的模拟定价研究 ．29 4．1资产池的构建及KMV模型参数估计 ．．29 4．2 COPULA函数的参数估计 29 4．3债务抵押债券合理信用价差的模拟定价 30 5．我国债务抵押债券定价的实证研究 一33 5．1样本数据 33 5．2模型参数与数据处理 ．34 5．3定价结果 ．35 6．全文结论及展望 36 参考文献 ．．38 攻读硕士期间参加的研究工作和发表的学术论文 4l 后记 ．．z12 Contents1．Introduction Contents 1．Introduction ．． ．． ．． ． ．．． ． ． ． ． ． ． ． ．．1 1．1硼1e background ofthe subject and significance ofthe research 1 1．：!The literature review ．2 1．2．1 Foreign scholars’researches．． ． ． ． ． ． ． ．．2 1．2．2 Domestic scholars’researches ． ． ． ．． ． ．6 1．3 The research methods and arrangement of contents ．9 1．4 Innovation ideas and flaw ．．9 2．Introduction of the collateralized debt obligation ．1 1 2l The nature ofthe collateralized debt obligation 。1 1 2．2 The classification ofthe collateralized debt obligation 13 2．3 The market development of the collateralized debt obligation 1 5 2．3．1 The foreign development ．15 2．3．2 The domestic development ．1 7 3．KMV model，Copula function and pricing model 1 9 3．1 The introduction of KMV model ．1 9 ：；．2 Copula function and simulation ofdefault time ．．20 3．2．1 The introduction of copula function ．．20 3．2．2 The definition and characteristic ofcopula 21 3．2．3 The classification ofcopula function ．22 ：}．2．4 Simulation ofthe default time ．．26 3．3 11圮pricing mechanism of the collateralized debt obligation 27 4．The simulation pricing research of the collateralized debt obligation ．．29 4．1硼1e construction of the asset pool and the parameter estimation of KMV model ．29 4．2 the parameter estimation of Copula function 29 4．3 The simulation pricing of the fair credit spr