中文摘要：

现代经典金融理论和精妙优美的数学模型难以解释和预言2000-2007年美国房地产泡沫和信用危机.次贷危机很大程度上是大量投资者行为的结果,它反映了投资者对未来经济走势的预期.而以往的信用风险模型恰恰忽视了人的因素.通过将行为金融中的主观非理性预期引入信用风险的结构化模型,建立了内生的动态均衡模型.研究发现,投资者的不同预期造成他们处于不同的交易地位,产生相对财富转移.相对财富转移扩大了金融资产的波动率,导致了金融资产定价偏差;同时也给对冲操作带来了风险.在投资者的＂美好＂预期无法持续时,可能诱发金融危机.因此引导投资者理性预期是减少金融市场动荡的有效手段,研究对我国金融体系健康稳定发展具有一定借鉴作用.

英文摘要：

The neoclassical financial theory and modern sophisticated beautiful mathematical model can not explain and predict the 2000-2007 American real estate bubble and the credit crisis.The subprime mortgage crisis,as a result of investor behavior,reflects the investors＇ expectation about future economic trend,however,which is neglected by earlier credit risk models.In this paper,we introduce the subjective irrational expectations of behavior finance into the credit risk structure model and establish a dynamic endogenous equilibrium model.The research finds heterogeneous beliefs force investors to take speculative positions against each other and therefore generate endogenous relative wealth fluctuation and excessive volatility,which impacts on pricing and hedging efficiency.When investors＇ beautiful expectation cannot maintain,the crisis may follow.Therefore to guide the investors in a rational direction is the effective means to reduce financial risk.This paper is expected to benefit stable development of financial system in China.