The Research of Credit Risk Mitigation Warrant S Pricing
|School||Shanghai Jiaotong University|
|Keywords||Credit Risk Mitigation Warrant Pricing Credit Spread Default Probability|
In 2006, FuXi event gave a big shock to China bond market of credit risk. After that, NAFMII(National Association of Financial Market Institutional Investors) announced Chinese credit derivate in 2010. CRMW(Credit Risk Mitigation Warrant) becomes a new tool to help bond investors to manage their credit risk.CRMW is a standard credit derivate which is different with CDS(Credit Default Swap). This thesis introduced the detail design of CRMW and pointed out factors which affect the pricing of CRWM.International investors usually use default probability to price a credit derivate. This thesis gave a brief on such models and analyzed the shortage when applying these models into CRMW s pricing.Fortunately, CRMW is very similar with credit spread which indicates the credit risk of a bond. This thesis discussed a method of pricing CRMW using credit spread and calculated out the prices of 9 issued CRMWs.Although there are many shortages in this thesis, we believe that the pricing model of CRMW will be improved with the developing of market.