CDS市场的最优策略建模：债权人-发行人动态的作用

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-04-12 DOI:10.1016/j.irfa.2025.104170

Suman Banerjee , Mingyuan Kong

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引用次数: 0

摘要

我们建立了一个模型来分析债权人和CDS发行人的最优策略。通过建立保证债权人保留价高于发行人保留价的条件，我们证明了CDS市场的存在。这些保留价格之间的差异，受到风险规避和基本面不确定性等因素的影响，在塑造CDS市场动态方面发挥着至关重要的作用。我们发现发行人的保留价格随其在参考实体中的股权头寸的大小而增加，并随发行人信用风险组合的多样性而降低。这些发现对CDS市场的优化设计具有启示意义。

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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Modeling optimal strategies in CDS markets: The role of creditor-issuer dynamics

We develop a model to analyze the optimal strategies of creditors and CDS issuers. By establishing conditions that ensure the reservation price of creditors exceeds that of the issuers, we demonstrate the existence of a CDS market. The difference between these reservation prices, influenced by factors such as risk aversion and fundamental uncertainty, plays a crucial role in shaping CDS market dynamics. We find that the issuer’s reservation price increases with the size of their equity position in the reference-entity, and decreases with the diversity of the issuer’s credit-risk portfolio. These findings have implications for the optimal design of CDS markets.

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.