基于简约模型的银行间市场信用类债券定价研究

发布时间：2018-03-27 21:40

  本文选题：银行间市场　切入点：跳跃扩散模型　出处：《天津大学》2014年博士论文

【摘要】：随着信用债券市场的蓬勃发展和新型衍生产品的不断涌现,相关的各种理论和实践问题逐渐地引起越来越多的学者的关注。利率风险和信用风险是固定收益类证券投资中所要面临的主要风险,如何选择恰当的利率测度模型刻画市场基准利率期限结构,以及对信用债券的违约动态特性进行描述,并为其进行准确地定价、预测和风险管理成为金融研究领域中国内外学者关注的核心课题。本文基于信用风险简约模型框架,以动态利率期限结构和信用风险测度理论为基础,选择银行间债券市场短期融资券和中期票据为研究样本,针对银行间市场利率风险测度模型、零息票和附息票债券的定价、以及信用利差模型四个方面进行了系统深入的研究。首先,针对我国银行间债券市场,构建多因子跳跃扩散模型刻画国债利率期限结构,基于卡尔曼滤波方法和遗传算法对Vasicek纯扩散和跳跃扩散模型的单因子、多因子等五种模型的参数进行最优估计,通过各模型对银行间国债利率动态特性拟合效果的比较分析,给出在选择利率模型刻画利率期限结构时的标准,为后续信用债券定价中利率风险测度模型选择提供参考准则。其次,对近年来在银行间市场迅速发展的短期融资券(零息票债券)进行定价研究,构建基于信用风险简约模型框架的多因子仿射定价模型,采用卡尔曼滤波法对模型进行参数估计,通过样本内、外价格的测试以及蒙特卡洛模拟法对价格预测的结果来说明定价模型的效果;同时考察相同信用等级、不同发行主体的债券其信用利差的动态特性。再次,对银行间市场另一类蓬勃发展的附息信用债券中期票据进行定价研究,以信用风险简约模型为理论框架为息票债券定价并给出其价格的闭式解,运用一阶泰勒近似将定价模型进行线性化处理,通过债券价格的拟合结果来说明模型在我国市场的有效性和泰勒线性化处理方式的合理性;并对基于独立和共同违约风险参数下的定价模型进行实证比较。最后,在对信用债券定价模型研究的基础上,以我国银行间中期票据为样本,基于信用风险简约模型框架,更为细致地讨论分别以个体因子、共同因子和两种因子相结合三种方式构建信用债券利差的仿射期限结构模型,通过比较三种模型下样本债券价格的拟合及预测效果,给出利用简约模型为信用债券定价时对信用利差模型选择的标准。
[Abstract]:With the rapid development of credit bond market and the emergence of new derivative products, Interest rate risk and credit risk are the main risks in fixed income securities investment. How to choose the appropriate interest rate measure model to describe the market benchmark interest rate term structure, and to describe the dynamic characteristics of credit bond default, and to price it accurately. Forecasting and risk management have become the core issues of Chinese and foreign scholars in the field of financial research. Based on the framework of credit risk reduction model and the theory of term structure of dynamic interest rate and the measurement of credit risk, this paper bases on the theory of term structure of dynamic interest rate and measurement of credit risk. In this paper, the short-term financing paper and medium-term paper in the interbank bond market are selected as the research samples, and the pricing of the zero-coupon and interest-bearing bond is studied in the interest rate risk measurement model of the interbank market. First of all, aiming at the interbank bond market in China, a multi-factor jump diffusion model is constructed to describe the term structure of the interest rate of national debt. Based on Kalman filter method and genetic algorithm, the parameters of five models of pure diffusion and jump diffusion of Vasicek are estimated by single factor and multi-factor, and the dynamic characteristics of interest rate of inter-bank bond are compared and analyzed by each model. The criteria for selecting interest rate model to describe the term structure of interest rate are given, which provide a reference criterion for the selection of interest rate risk measurement model in the subsequent pricing of credit bonds. This paper studies the pricing of short-term financing bonds (zero-coupon bonds), which has been developing rapidly in the interbank market in recent years, constructs a multi-factor affine pricing model based on the credit risk reduction model framework, and estimates the parameters of the model by using Kalman filter method. The effect of the pricing model is illustrated by the test of price inside and outside the sample and the result of Monte Carlo simulation. At the same time, the dynamic characteristics of the credit spreads of bonds with the same credit rating and different issuers are investigated. Again, This paper studies the pricing of another kind of interest-bearing credit bonds in the interbank market. The simple model of credit risk is used as the theoretical framework to price coupon bonds and the closed solution of their prices is given. The first order Taylor approximation is used to linearize the pricing model. The validity of the model in our market and the rationality of Taylor linearization are illustrated by the fitting results of bond prices. Finally, on the basis of the study of credit bond pricing model, taking the interbank intermediate-term notes as the sample, based on the credit risk reduction model framework, the paper makes an empirical comparison of pricing models based on independent and common default risk parameters. The affine term structure model of credit bond interest rate difference is constructed by using individual factor, common factor and two kinds of factors in detail, and the fitting and forecasting effect of sample bond price under the three models are compared. In this paper, the criteria for selecting credit spread model for credit bond pricing by using simple model are presented.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51
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本文编号：1673321