投资者情绪、偿债能力与CDS交易对手流动性风险传染

本文构建了一个考虑投资者情绪和CDS交易对手偿债能力的全局博弈模型,探讨CDS交易对手流动性风险的传染机制.研究表明:当参考资产信用评级下降时,流动性风险在CDS交易对手之间传染是基于投资者对参考资产违约概率预期和CDS交易对手偿债能力的信念更新与行为转换.当投资者预期参考资产违约风险增加时,预判其他类型投资者对待参考资产违约的态度,并据此决定是否对于CDS卖方开展挤兑,引发CDS卖方的流动性变化;当投资者观测到CDS卖方的流动性变化时,预判其他类型投资者对待参考资产违约和CDS卖方违约的态度,并据此决定是否对于CDS买方的开展挤兑.此外,CDS交易对手流动性风险传染与债券到期时悲观债权人收益的贴现因子正相关,与参考资产违约回收率负相关,与CDS合约票息率正相关.得到的政策启示如下:标准化信用评级手段,提高信用评级的权威性及准确性;CDS产品定价应当充分考虑CDS卖方的流动性风险;CDS买方在CDS合约生效后应当继续认真落实贷后监管工作,适时提高贷款抵押品价值;提高大债权人群体(即机构)的风险辨别能力,充分发挥大债权人群体稳定金融市场的作用.

Investor sentiment,debt solvency and the contagion of CDS counterparty liquidity crisis

In this paper, we construct a global game model considering the investor sentiment and the debt solvency of CDS counterparty, to discuss the contagion mechanism of a liquidity crisis among CDS counterparty. The paper finds:The contagion of a CDS counterparty liquidity crisis based on the investor expected default probability of reference asset, belief revision and behavior choice of investor on the debt solvency when reference asset's credit-rating downgrade. Investors will decide whether to roll over their loans according to the expected default probability of reference asset and other type investors' attitude to the default of reference asset. And the investors' behavior will induce the liquidity problem of CDS seller. Investors could observe other type investors' attitude to the default of reference asset and CDS seller, and decide whether to withdraw their deposits on the CDS buyer according to these signals. Furthermore, we analyzed the influencing mechanism which CDS spread, declaim rate and discount factor on the threshold of debt solvency which will induce the liquidity crisis in CDS buyer and the threshold of private signals which affect investors whether to roll over their deposits in CDS buyer. And we found that a positive correlation exists between discount factor and the contagion of CDS counterparty liquidity crisis, a negative correlation exists between declaim rate and the contagion of CDS counterparty liquidity crisis, and a positive correlation exists between CDS spread and the contagion of CDS counterparty liquidity crisis. This paper also provides the following policy implications:Standardizing the methods of credit rating, and improving the authority and accuracy of credit rating; considering the liquidity crisis of when pricing the CDS; buyer of CDS should continue strengthen post-loan supervision and increase the value of collateral duly; improving the risk distinguishing capacity of large creditors and guaranteeing the safety of financial markets.