基于Hull-White利率期限结构模型的债券定价研究

发布时间：2018-10-15 15:02

【摘要】：随着我国利率市场化改革的稳步实施，市场利率而非管制利率将对金融资产的配置方式产生重要影响。当前，在中小企业融资困难的背景下，我国急需增加债券的发行量，为中小企业提供新的融资渠道，同时可以给投资者带来更多的投资选择，从而完善资本市场的功能。因此，有必要对利率期限结构和债券的定价进行研宄。本文首先分别对传统和现代利率期限结构理论予以介绍。在现代利率期限结构理论的介绍中，重点介绍了均衡利率模型和无套利利率模型。其次，对于本文所研宄的Hull-White利率模型，我们将模型中的短期利率转换成解析解的形式，确定出要估计的三个参数：瞬时远期利率，短期利率的均值回复速度以及短期利率的标准差。在估计利率期限结构过程中，本文在比较了四种估计方法之后，使用Nelson-Siegel模型估计远期利率的表达式，得出的结果基本符合我国国债收益率的走势，拟合效果较好。根据Hull-White的建议，本文采用Vasicek模型估计参数利率均值回复速度和利率的标准差。在选择瞬时利率的替代利率中，本文参照了潘冠中(2004)的研宄，采用国债回购R007的利率，同时将Vasicek模型离散化,得出短期利率均值回复速度和标准差的估计值。为了减少风险市场价格对债券定价的影响，我们对Hull-White利率模型的定价采用蒙特卡洛模拟的方法，选取了有连续三天交易数据的六只不同到期日的息票国债，得到以下结果：用模型得出的所有预测结果与实际价格之间的误差都控制在了1.5%左右的范围内，，Hull-White模型适于对我国国债进行定价。最后，本文对Hull-White定价模型进行了敏感性分析，主要侧重在利率均值回复速度和利率标准差的这两个参数，分析得出利率回复速度的减小和利率波动幅度的增大比二者反方向变动对债券价格波动幅度带来的影响大得多。
[Abstract]:With the steady implementation of market-oriented interest rate reform in China, market interest rate rather than regulated interest rate will have an important impact on the allocation of financial assets. At present, under the background of financing difficulties of small and medium-sized enterprises, our country urgently needs to increase the issuance of bonds, provide new financing channels for small and medium-sized enterprises, and at the same time, can bring more investment options to investors, thus perfecting the function of capital market. Therefore, it is necessary to study the term structure of interest rate and the pricing of bonds. This paper firstly introduces the traditional and modern term structure theory of interest rate. In the introduction of the modern term structure theory of interest rate, the equilibrium interest rate model and the no arbitrage interest rate model are introduced. Secondly, for the Hull-White interest rate model studied in this paper, we convert the short-term interest rate in the model into the form of analytical solution, and determine three parameters to be estimated: instantaneous forward interest rate. The average rate of return of short-term interest rates and the standard deviation of short-term interest rates. In the process of estimating the term structure of interest rate, after comparing four estimation methods, this paper uses Nelson-Siegel model to estimate the expression of forward interest rate, and the result is basically in line with the trend of national bond yield in our country, and the fitting effect is better. According to the suggestion of Hull-White, this paper uses Vasicek model to estimate the average return speed of parameter interest rate and the standard deviation of interest rate. In choosing the alternative interest rate of instantaneous interest rate, this paper refers to the study of Pan Guanzhong (2004), adopts the interest rate of national debt repurchase R007, and discretizes the Vasicek model, and obtains the estimated value of the average return speed and standard deviation of short-term interest rate. In order to reduce the influence of risk market price on bond pricing, we use Monte Carlo simulation method to price Hull-White interest rate model, and select six coupon bonds with three consecutive days of trading data. The following results are obtained: the error between all the predicted results and the actual price obtained by the model is controlled in the range of about 1.5%, and the Hull-White model is suitable for pricing the national debt in China. Finally, this paper analyzes the sensitivity of Hull-White pricing model, focusing on the two parameters of the average return speed of interest rate and the standard deviation of interest rate. The analysis shows that the decrease of interest rate recovery speed and the increase of interest rate fluctuation range have much greater influence on bond price volatility than the reverse direction of the two changes.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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