Pricing to acceptability: with applications to valuation of one’s own credit risk

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2012-09-01 DOI:10.21314/JOR.2012.252

E. Eberlein, Thomas Gehrig, A. Freiburg, D. Madan, R. H. Smith

引用次数: 14

Abstract

The theory of pricing to acceptability developed for incomplete markets is applied to marking ones own default risk. It is observed in agreement with Heckman (2004), that assets and liabilities are not to be valued in nancial reporting at the same magnitude. Liabilities are marked at ask prices that are above the asset mark at bid prices. Applying cones of acceptability dened by concave distortions it is observed that counterintuitive protability resulting from credit deterioration is mitigated. We argue that the di¤erence between the liability mark at ask and the asset mark at bid be taken as an upfront expense deposited in a special account called the ODOR account for Own Default Operating Reserve. Procedures are described for pricing coupon bonds separately as assets and liabilities. These procedures employ the default time distribution embedded in the CDS market.

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可接受性定价：应用于自身信用风险评估

针对不完全市场发展起来的可接受性定价理论应用于对自身违约风险的定价。与Heckman(2004)一致的是，在财务报告中，资产和负债不应以相同的幅度进行估值。负债的卖出价高于资产的买入价。应用凹形扭曲所需的可接受度锥体，观察到由信用恶化引起的反直觉的可接受度得到了缓解。我们认为，在询价时的负债标记和在投标时的资产标记之间的差额应被视为一笔预付费用，存入一个名为“自己违约经营准备金”的特殊账户。将息票债券分别作为资产和负债定价的程序加以说明。这些程序采用了CDS市场中嵌入的默认时间分布。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.