Pricing Derivatives on Financial Securities Subject to Credit Risk
Pricing Derivatives on Financial Securities Subject to Credit Risk
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DOI：
10.1111/j.1540-6261.1995.tb05167.x
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发表时间：
1995-03
影响因子：
8
通讯作者：
R. Jarrow;S. Turnbull
中科院分区：
文献类型：
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作者：
R. Jarrow;S. Turnbull
本文为涉及信用风险的衍生证券的定价和套期保值提供了一种新的方法。考虑了两种类型的信用风险。首先是衍生证券的基础资产可能违约的地方。第二个是衍生证券的出售者可能违约的地方。我们采用Jarrow和Turnbull（1991）的外币类比，将美元偿付从风险证券分解为一定的偿付和“即期汇率”。然后采用无套利估值技术。这种方法可以应用于公司债务和场外衍生品，如掉期和上限。本文的目的是为涉及信用风险的衍生证券的定价和套期保值提供一种新的理论。识别并分析了信用风险的两种来源。第一种情况是，衍生证券的标的资产可能违约，赔付金额低于承诺。例如，企业债务的内嵌期权就是这种情况。二是衍生证券出售者引入的信用风险，出售者也可能违约。例子包括欧洲美元期货、掉期和掉期的场外期权出售者。对于涉及信用风险的衍生证券，目前有两种定价方法。第一种观点认为，这些衍生品不是对金融证券本身的或有债权，而是对金融证券基础资产的“复合期权”。例如，企业债务的嵌入期权定价（参见Merton（1974, 1977）、Black和Cox（1976）、Ho和Singer（1982）、Chance（1990）和Kim、Ramaswamy和Sundaresan(1993)）或脆弱期权定价（参见Johnson和Stulz(1987)）就是这种情况。然而，在实践中，这种估价方法很难使用。首先，金融安全的基础资产通常不可交易，因此它们的价值不可观察。这使得理论的应用和相关参数的估计存在问题。其次，与公司债务的情况一样，公司优先于公司债务的所有其他负债必须首先（同时）估值。这就产生了很大的计算困难。结果，这种方法没有奏效
This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default. The second is where the writer of the derivative security may default. We apply the foreign currency analogy of Jarrow and Turnbull (1991) to decompose the dollar payoff from a risky security into a certain payoff and a "spot exchange rate." Arbitrage-free valuation techniques are then employed. This methodology can be applied to corporate debt and over the counter derivatives, such as swaps and caps. THE PURPOSE OF THIS article is to provide a new theory for pricing and hedging derivative securities involving credit risk. Two sources of credit risk are identified and analyzed. The first is where the asset underlying the derivative security may default, paying off less than promised. This is the case, for example, with imbedded options on corporate debt. The second is the credit risk introduced by the writer of the derivative security, who may also default. Examples include over-the-counter writers of options on Eurodollar futures, swaps, and swaptions. For pricing derivative securities involving credit risk, there are currently two approaches. The first views these derivatives as contingent claims not on the financial securities themselves, but as "compound options" on the assets underlying the financial securities. This is the case, for example, with the pricing of imbedded options on corporate debt (see Merton (1974, 1977), Black and Cox (1976), Ho and Singer (1982), Chance (1990), and Kim, Ramaswamy, and Sundaresan (1993)) or the pricing of vulnerable options (see Johnson and Stulz (1987)). In practice, however, this valuation methodology is difficult to use. First, the assets underlying the financial security are often not tradeable and therefore their values are not observable. This makes application of the theory and estimation of the relevant parameters problematic. Second, as in the case of corporate debt, all of the other liabilities of the firm senior to the corporate debt must first (and simultaneously) be valued. This generates significant computational difficulties. As a result, this approach has not