基于无套利模型的单向违约风险的利率互换定价

发布时间：2018-08-28 09:49

【摘要】：随着金融自由化和全球化的发展与加强，各国金融市场成为一个联动的市场，国际市场的变动会影响到一国利率。利率互换能够较好的管理利率风险且成本低廉，但是利率互换在管理风险的同时也会产生新的风险。考虑违约风险下的利率互换定价能够促进利率互换市场流动性的提升和交易规模的扩大。本文结合我国利率互换交易发展情况和定价现状，，构建基于无套利模型的单向违约风险的利率互换定价模型。论文使用利率动态模型中常用的两种无套利模型——BDT和Hull-White模型构建单向违约风险的利率互换定价模型。运用规范分析和实证分析相结合的方法描述了利率互换定价过程；运用定性分析对影响利率互换定价的因素进行分析，并对定价过程和违约风险测度进行了定量分析。利用我国金融市场上的银行间国债收益率曲线、SHIBOR曲线和R007数据，对模型进行了实证研究，对基于BDT和Hull-White模型的债券等值法和零息票定价法的定价结果与不考虑短期利率动态变化过程的债券等值法和零息票方法的定价结果进行了比较。结果表明本文构建的定价模型表现出定价的一致性，增加了定价的灵活性，与中国货币网公布的利率互换报价比较时运用本文构建的定价模型的定价结果与报价的差距较小。
[Abstract]:With the development and strengthening of financial liberalization and globalization, the financial market of various countries becomes a linkage market, and the change of international market will affect the interest rate of a country. Interest rate swap can better manage interest rate risk and the cost is low, but interest rate swap can produce new risk while managing risk. Considering the default risk, the pricing of interest rate swap can promote the liquidity of interest rate swap market and expand the scale of transaction. Based on the development of interest rate swap transactions in China and the current pricing situation, this paper constructs a one-way default risk pricing model of interest rate swaps based on the no-arbitrage model. In this paper, two kinds of arbitrage free models, BDT and Hull-White, which are commonly used in the interest rate dynamic model, are used to construct the interest rate swap pricing model of one-way default risk. This paper describes the process of interest rate swap pricing by combining normative analysis with empirical analysis, and uses qualitative analysis to analyze the factors affecting the pricing of interest rate swaps, and makes quantitative analysis of the pricing process and the measurement of default risk. Based on the SHIBOR curve and R007 data of the interbank bond yield in China's financial market, this paper makes an empirical study on the model. The pricing results of bond equivalence method and zero coupon pricing method based on BDT and Hull-White models are compared with those of bond equivalence method and zero coupon method without considering the dynamic process of short-term interest rate. The results show that the pricing model presented in this paper shows the consistency of pricing and increases the flexibility of pricing. Compared with the interest rate swap quotation published by China Monetary Network, the pricing result of the pricing model constructed in this paper has a small gap with the quoted price.
【学位授予单位】：哈尔滨工程大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.0

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