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近年来,数量分析技术在信用分析领域的运用得到极大发展,特别是在信用衍生品风险度量、资产定价等方面发挥了重要作用。长期以来雷曼兄弟公司以先进的信用衍生品模型分析技术著称,但其9月15日倒闭前,模型工具并未起到应有的预测作用,信用衍生品的损失远超预期,是除次级债巨额损失、过高的交易杠杆率、市场信心低迷造成流动性紧张等因素外,导致其破产的重要原因之一。结合信用衍生品模型在雷曼兄弟公司倒闭事件中的失灵,可以看出其风险建模的思路,以及其中的一些缺陷。一、雷曼公司信用衍生品风险模型的特征在雷曼兄弟公司此前公布的《信用衍生品指导》等针对客户的业务指南中,有近一半的篇幅用
In recent years, the application of quantitative analysis technology in the field of credit analysis has made great development, especially in credit derivatives risk measurement, asset pricing and other aspects. For a long time, Lehman Brothers has been known for its advanced analytical techniques for credit derivative models. However, before its close on September 15, the model tools did not play its due role. The loss of credit derivatives far exceeded expectations. One of the important reasons leading to bankruptcy, besides the huge loss of class debt, excessively high trading leverage and the liquidity shortage caused by the sluggish market confidence. Combined with the failure of the credit derivatives model in the event of the collapse of Lehman Brothers, we can see the ideas of risk modeling and some of the shortcomings. First, the characteristics of Lehman’s credit derivatives risk model In Lehman Brothers previously published “credit derivatives guidance” and other customer-oriented business guide, nearly half the space with