CRMW风险缓释效用目标跟踪的债券投资组合优化策略研究

为缓释债券市场违约风险，央行着力推进信用风险缓释工具CRMW(信用风险缓释凭证)的发展，关于CRMW风险缓释能力度量及CRMW在债券投资组合中的应用成为了亟待解决的关键问题。为此，本文借鉴CVaR思想提出了“CRMW风险缓释效用”以度量CRMW对债券违约风险缓释能力，借助概率分位点理论定义债券的动态风险并制定了动态风险缓释跟踪目标，基于此跟踪目标探讨带有CRMW的债券投资组合优化策略问题。研究结果表明，在保证目标投资收益率的前提下，债券最优投资组合可达到风险缓释效用的目标，使其同时实现转移风险和保障收益的双重目的，且该投资组合优化策略表现出良好的抗风险性能。

Bond Portfolio Optimization Strategy with Target Tracking of CRMW Default Risk Mitigation Utility

Since 2018, default events occurred frequently in the Chinese bond market. In this context, Credit Risk Mitigation Warrants (CRMW), sometimes called Chinese credit default swaps(CDS), was issued by the inter-banks bond market in China in 2018. The measurement of CRMW risk mitigation ability and the application of CRMW in the bond portfolio become the key issues to be solved urgently. The reduced model is introduced to measure the default probability of underlying bond, and the default intensity is driven by a two-factor CIR process. Applying State-space model and Kalman filter approaches, the related parameters of the CIR process are estimated according to a time series of historical prices of bonds and risk-free rate. Invoked by CVaR theory, the Default Risk Mitigation Utility (DRMU) of a CRMW is proposed to measure the ability that CRMW mitigates the default risk of underlying bond, and the dynamic risk of bonds with probability quantile is introduced. Given a tracking benchmark, the target of dynamic risk mitigation, a portfolio optimization policy is developed to reasonably utilize CRMW. Using the market data of CRMW and its underlying bonds, the behavior of the optimal portfolio is analyzed. The experiment results show that the optimized portfolio possesses a desired performance for different β quantile and a reasonable risk transfer ratio α, that is, under the premise of guaranteeing the investment return target, the optimal portfolio can achieve the target of dynamic risk mitigation. In addition, the portfolio optimization policy shows a better anti-risk performance. The higher the risk in the scenario, the more robust the optimized portfolio will be. Therefore, the proposed method in this paper can effectively measures the ability of CRMW to mitigate the default risk of underlying bonds,and provides an optimized portfolio strategy to mitigate the default risk of underlying bonds by using CRMW.