论文标题
欧洲安全债券的安全性如何？从现代投资组合信用风险模型的角度进行分析
How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
论文作者
论文摘要
欧元区改革的几项建议倡导由主权债券投资组合支持的合成证券创建市场。大多数辩论是Brunnermeier，Langfield，Pagano，Reis，Van Nieuwerburgh和Vayanos（2017）提出的所谓欧洲安全债券或Esbies。 Esbies和其他债券支持证券的潜在好处取决于这些产品确实是安全的。在本文中，我们使用具有政权切换为我们分析的载体信用风险模型，对与ESBIE和相关产品相关的风险进行了全面的定量研究。我们讨论了有关ESBIE评级的标准和毒品的最新建议，我们分析了模型参数和依恋点对ESBIES信用量差异的大小和波动性的影响，我们考虑了几种评估ESBIE市场风险的方法。此外，我们将ESBIE与Leandro和Zettelmeyer（2019）建议的汇集国家债券高级债券创建的合成证券进行了比较。本文以对我们的分析的政策含义进行了简要讨论。
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called European Safe Bonds or ESBies proposed by Brunnermeier, Langfield, Pagano,Reis, Van Nieuwerburgh and Vayanos (2017). The potential benefits of ESBies and other bond-backed securities hinge on the assertion that these products are really safe. In this paper we provide a comprehensive quantitative study of the risks associated with ESBies and related products, using an affine credit risk model with regime switching as vehicle for our analysis. We discuss a recent proposal of Standard and Poors for the rating of ESBies, we analyse the impact of model parameters and attachment points on the size and the volatility of the credit spread of ESBies and we consider several approaches to assess the market risk of ESBies. Moreover, we compare ESBies to synthetic securities created by pooling the senior tranche of national bonds as suggested by Leandro and Zettelmeyer(2019). The paper concludes with a brief discussion of the policy implications from our analysis.
