قیمت گذاری بدهی در بازار ناقص با استفاده از مصون سازی واریانس پویا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|14277||2005||15 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Insurance: Mathematics and Economics, Volume 36, Issue 3, 24 June 2005, Pages 441–455
In this article the method of pricing the liabilities of a financial institution by means of dynamic mean–variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium with homogeneous expectations. For a given stochastic asset–liability model that is consistent with the market, the article shows how to determine the price at which, subject to specified provisos, a prospective transferor or transferee would be indifferent to the transfer of the liabilities.
Because of moral hazard, legal constraints and the de facto incompleteness of markets, it is generally impossible to replicate the liabilities of a financial institution with traded assets. Under such conditions it is impossible to determine the price at which the liabilities would be traded by means of asset matching, risk-neutral pricing methods or deflators (Møller, 2002 and Jarvis et al., 2001)
نتیجه گیری انگلیسی
In order to ensure that the hedge portfolio is optimal, the asset categories should generally include a set of risk-free zero-coupon bonds (nominal or index-linked or both, depending on the nature of the liabilities) maturing at successive year-ends. For liabilities corresponding to such bonds, the hedge portfolio will comprise those bonds and the price of the liabilities will be equal to the price of the bonds. The market portfolio will include not only those bonds but also new issues from year to year. On the expectations hypothesis, the ALM's expected future risk-free interest rates should be equal to current forward-rate yields, in both nominal and real terms. Also, the difference between expected nominal returns and expected real returns should be consistent with expected inflation, allowing in addition for a reasonable inflation risk premium. The initial price volatilities of the asset categories modelled should conform to those implied by option prices.