On securitization and equilbrium pricing in incomplete markets

不完全市场中的证券化与均衡定价

• 批准号: 371653-2009
• 负责人: Pirvu, Traian
• 金额: $ 1.5万
• 依托单位: McMaster University
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2013
• 资助国家: 加拿大
• 起止时间: 2013-01-01 至 2014-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=528309
• 关键词: securitization; equilbrium; pricing; incomplete; markets

Over the last few decades an array of new financial products have emerged, some of them written on non-tradable underlings. These financial products are the output of a process called securitization that transforms non-tradable risks into tradable financial securities. Thus, the result is a new financial product which can be regarded as a vehicle to transfer non-tradable risk to financial markets. One example of non-tradable risk is weather risk and this affects many businesses. The natural question which arises is: What should be the fair price to be charged for such a financial product? One possibility is the equilibrium price. Equilibrium prices are the prices for which the market clears, that is the market participants act optimally in such a way that the demand for the financial product equal the supply. Equilibrium pricing has been widely studied especially in complete markets (markets in which perfect risk transfer is possible). In reality markets are incomplete (for many reasons: illiquidity, trading constraints, idiosyncratic risk etc.) and this renders the analysis more complicated. In this project we focus on models where risk limits are imposed on market participants portfolios and we analyze the effect of idiosyncratic risk on equilibrium prices. Reducing the risk exposure by imposing risk limits is part of the new risk management regulations (Basel I and II accords). Idiosyncratic risk is the risk of price change due to the unique circumstances of a specific security and/or market participants. Although there are available examples of equilibrium pricing in incomplete markets, there is still need for a better mathematical framework for characterizing and computing the equilibrium prices. The project intellectual merit is the mathematical and financial framework which allows for numerical computation of equilibrium prices. Further it suggests how the financial products should be designed in order to be efficient in mitigating and transferring risk. The broader impact of this project is that the method proposed can be extended to other financial economic models. More specifically our methodology can be used to analyze the relationship between rates of assets return and aggregate consumption in incomplete market paradigms.

在过去的几十年中，已经出现了一系列新金融产品，其中一些以不可交易的基础写成。这些金融产品是称为证券化过程的输出，该过程将不可交易的风险转化为可交易的金融证券。因此，结果是一种新的金融产品，可以将其视为将不可交易风险转移到金融市场的工具。不可交易风险的一个例子是天气风险，这会影响许多企业。出现的自然问题是：这样的金融产品应该收取什么公平价格？一种可能性是平衡价格。均衡价格是市场清除的价格，即市场参与者的行动最佳，以至于对金融产品的需求等于供应。均衡定价已被广泛研究，尤其是在整个市场（可以转移完美风险转移的市场）。在现实市场中，市场是不完整的（出于许多原因：流动性不足，限制，特殊风险等），这使得分析更加复杂。在这个项目中，我们专注于对市场参与者投资组合施加风险限制的模型，并分析了特质风险对均衡价格的影响。通过施加风险限制来降低风险敞口是新的风险管理法规（巴塞尔I和II协议）的一部分。特殊风险是由于特定安全性和/或市场参与者的独特情况，价格变化的风险。尽管在不完整的市场中有均衡定价的可用示例，但仍然需要一个更好的数学框架来表征和计算均衡价格。项目智力优点是数学和财务框架，它允许对均衡价格进行数值计算。此外，它建议如何设计金融产品，以便在减轻和转移风险方面有效。该项目的广泛影响是提出的方法可以扩展到其他金融经济模型。更具体地说，我们的方法可用于分析不完整的市场范式中资产回报率和总消费量之间的关系。