CAJ | 학술논문

通过对试点期间8只CRMW产品的市场介绍和定价分析，运用约化模型，给出CRMW的定价公式；影响定价的关键因素主要包括标的债务信用曲线适当选取和违约回收率的估计。通过剥离法，从市场收益率数据中剥离标的债务信用曲线。最后结合实际数据，实证得出市场CRMW报价普遍偏低。
통과대시점기간8지CRMW산품적시장개소화정개분석，운용약화모형，급출CRMW적정개공식；영향정개적관건인소주요포괄표적채무신용곡선괄당선취화위약회수솔적고계。통과박리법，종시장수익솔수거중박리표적채무신용곡선。최후결합실제수거，실증득출시장CRMW보개보편편저。
Through introduction to and pricing for the eight CRMW products launched during the period of pilot business, and using reduced form model, the CRMW’s pricing method is formulated. Key factors for CRMW pricing are properly chosen of credit curve and estimation of recovery rate for underlying obligation. The CRMW can be effectively valued with credit curve bootstrapped from market yield data. Combined with the real data, the market consensus on undervaluation of CRMW is confirmed.