| 信用衍生品定价及潜在风险研究综述 |
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| 引用本文： | 郝刚,张维,熊熊.信用衍生品定价及潜在风险研究综述[J].西南交通大学学报(社会科学版),2008,9(1):6-12. |
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| 作者姓名： | 郝刚 张维 熊熊 |
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| 作者单位： | 1. 天津大学管理学院,天津,300072;天津财经大学,商学院,天津,300222
2. 天津大学管理学院,天津,300072 |
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| 基金项目： | 教育部博士点基金(20060056013) |
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| 摘 要： | 20世纪90年代以来信用衍生品迅速发展,已成为重要的风险管理工具。其蕴含的潜在风险与相关定价方法发展相互影响,共同构成信用衍生品理论研究的核心内容。现有研究成果主要集中在以下三方面:(1)信用衍生品定价问题,包括单名产品定价和多名产品定价;(2)潜在风险则包括借款人或贷款人的道德风险、柠檬问题等;(3)宏观研究则涉及信用衍生品对货币政策的影响以及信用衍生品市场同其他信用衍生市场的相互影响。
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| 关 键 词： | 信用衍生品 潜在风险 资产定价 逆向选择 道德风险 |
| 文章编号： | 1009-4474(2008)01-0006-07 |
| 修稿时间： | 2007年10月6日 |
A Review of Studies on Pricing and Potential Risk of Credit Derivatives |
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| HAO Gang,ZHANG Wei,XIONG Xiong.A Review of Studies on Pricing and Potential Risk of Credit Derivatives[J].Journal of Southwest Jiaotong Universit(Social Science Edition),2008,9(1):6-12. |
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| Authors: | HAO Gang ZHANG Wei XIONG Xiong |
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| Abstract: | Credit derivatives have developed rapidly into a kind of important tool of risk management since 1990s.The interaction between the potential risk of credit derivatives and their pricing method is the core field of theoretical research of credit derivatives.Current studies are mainly concerned with the following three aspects:(1) pricing of credit derivatives,including single-name pricing and multi-name pricing;(2) potential risk,including ethical risks of creditor and "lemon" problem;and(3) macro-research,including credit derivatives' influence upon monetary policy and the interactive influence between credit derivative market and other credit markets. |
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| Keywords: | credit derivative potential risk pricing of assets reverse seletion ethical risk |
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