基于动态因子Copula和DCC模型的可违约公司债券定价和信用资产组合管理

本项目将在我国拟将推出高收益债券以解决中小企业融资和民间借贷困境的实际背景下，应用动态因子Copula和DCC模型研究可违约公司债券之间的动态违约相关性及可违约公司债券与无违约证券（如国债和股票）之间的动态相关结构；然后应用违约强度模型及风险中性估值原理给出可违约债券的定价模型，计算包含可违约债券的信用资产组合的CVaR，并在效用极大或CVaR最小的准则下给出信用资产组合的最优投资比例；并给出相应的算法来模拟具有动态相关性的违约时间和资产收益率序列，用实际数据或模拟的数据对建立的定价模型进行实证研究、数值分析、敏感度分析及比较研究。与现有研究相比，我们将根据我国的公司债券市场实际，分析和选择影响高收益债券价格和违约及信用资产组合选择的市场因子和公司特有因子，并刻画它们之间的的动态相关性，进而研究可违约公司债券定价和信用资产组合管理问题，从而在理论和实践上为相关研究提供新的研究思路和方法。

Under the setting that Chinese government is considering to bring out the high yield corporate bonds to solve mini firms' difficulty of financing and the investment of social capital, in this project we will first study the dynamic default correlation between defaultable corporate bonds and the dynamic correlation between defaultable corporate bond and default-free securities using the dynamic factor copula and dynamic conditional correlation (DCC) model; then we will give the pricing formula for the defaultable corporate bonds using the default intensity model and risk neutral valuation, and calculate the CVaR for a credit portfolio including defaultable corporate bonds, and give the optimal investment strategies under the criteria of utility maximization or CVaR minimization; finally we will design some algorithms to generate default times and asset return time series with some kind of dynamic dependence structure, and then do empirical study, numerical analysis, model comparison and sensitivity analysis based on the given theoretical models. Comparing with the existed literatures, we will analyze and then choose the market factors and firm specific factors that influence the price of high yield corporate bonds and credit portfolio selection according to the reality of Chinese corporate bonds market, and then characterize the dynamic correlation between these factors, and study the pricing of defaultable corporate bonds and credit portfolio management.