The Study On Pricing Model Of "Chinese Version" CDS-Credit Risk Mitigation Tool

Credit default swap,a kind of standard contract,can peel off credit risk from financial assets and be used as the subject of the transaction.In foreign financial field,credit default swap has become an indispensable tool for credit risk control.In October 2010,the National Association of Financial Market Institutional Investors officially launched CRM,which means the successful launch of the Chinese version of CDS.In our country credit risk mitigation mainly include two types,which is "credit risk mitigation contract" and "credit risk mitigation document",Credit Risk Mitigation plays a key role in our country's credit risk management and is particularly significant to properly price.On the basis of studying the pricing model of internationally popular credit default swap,this paper constructs the pricing model of Credit Risk Mitigation Instruments,in order to promote the development of China's financial market.Firstly,based on reading literature,two mainstream pricing models are introduced,which are structured model and simple model.Secondly,according to the financial situation of our country,influence factors of price,such as the term of the contract,the risk-free interest rate,the reference asset credit rating,has been selected,we discussed the relationship between the factors and the price through the equations by selecting samples from wind database and using statistical analysis software EVIEWS to establish regression equation.Based on the establishment of the main factors,that the optimization of the simplified model and the configuration of the relevant parameters is to establish a pricing model suitable for our country's credit risk mitigation.The product,CRMW,is selected from China Bond Insurance Corporation to test the accuracy of the pricing model,a certain deviation lies in the price estimated by the model and the real price,which is mainly affected by supplydemand relation,option of the risk-free rate of interest,market liquidity.Finally,some strategies improving the model in this paper is put forward for the establishment of pricing model fit for China's credit risk mitigation.