Abstract: This paper constructs a credit bond portfolio optimization model including interest rate and credit double risk factors, and Monte Carlo simulation solves the following problems: Firstly, under the framework of the intensity pricing model, the CIR stochastic interest rate model is used to describe the stochastic dynamic changes of the interest rate risk factor “risk-free interest rate” and the credit risk factor “default intensity”, which are measured in two types of risks. They affect the market value of credit bonds to construct a CRRA-type investment utility function. The CRRA-type investment utility function is maximized as the objective function, while controlling both interest rate and credit risk. It makes up for the shortcomings of the existing research that only considers credit risk or interest rate risk separately and cannot control the two risks as a whole. Second, the risk-free interest rate is used as a factor to influence the intensity of default. The two-factor CIR model of “risk-free interest rate factor” and “pure credit factor” is used to fit the default intensity, and the impact of market interest rate change on bond default intensity and the correlation between the two risks are reflected. The portfolio model considers both credit risk and interest rate risk, and the interaction of the two risks. We avoid ignoring the correlation between the two risks and optimizing the risk of underestimating when optimizing the portfolio.

Key words: portfolio optimization, interest rate risk, credit risk, two-factor CIR, intensity pricing

摘要： 信用风险和利率风险是相互关联影响的。资产组合优化不能将这两种风险单独考虑或简单的相加,应该进行整体的风险控制,不然会造成投资风险的低估。本文的主要工作:一是在强度式定价模型的框架下,分别利用CIR随机利率模型刻画利率风险因素“无风险利率”和信用风险因素“违约强度”的随机动态变化,衡量在两类风险共同影响下信用债券的市场价值,从而构建CRRA型投资效用函数。以CRRA型投资效用函数最大化作为目标函数,同时控制利率和信用两类风险。弥补了现有研究中仅单独考虑信用风险或利率风险、无法对两种风险进行整体控制的弊端。二是将无风险利率作为影响违约强度的一个因子,利用“无风险利率因子”和“纯信用因子”的双因子CIR模型拟合违约强度,考虑了市场利率变化对于债券违约强度的影响,反映两种风险的相关性。使得投资组合模型中既同时考虑了信用风险和利率风险、又考虑了两种风险的交互影响。避免在优化资产组合时忽略两种风险间相关性、可能造成风险低估的问题。

关键词: 投资组合优化, 利率风险, 信用风险, 双因子CIR, 强度式定价