基于复杂网络的国内利率互换市场分析

发布时间：2018-09-09 10:08

【摘要】：复杂网络理论的兴起得益于当代信息技术的飞速发展，该理论在研究生物学，社会学，计算机学，管理学和物理学等学科上得到越来越广泛的应用，而反过来，在研究这些学科的路上，复杂网络理论本身也得到了长足的发展。本文主要是利用复杂网络理论对国内的利率互换市场进行研究，，使用国内的实际交易数据构造网络模型，然后分析研究，得出了国内利率互换市场的发展状态。目前利用复杂网络对金融市场的研究不是太多，对于利率互换市场的研究，更是几乎处于空白状态，本文属于抛砖引玉，对国内利率互换市场做了一些基础的研究。首先，本文通过复杂网络的平均路径长度，聚集系数，度分布和相关性等特征参数来分析实际国内利率互换交易市场的紧密性和流通性，从而从不同角度对比不同时期的市场状况。揭示了国内利率互换市场的发展趋势，在统计分析数据的时候，发现了存在于网络中的富人俱乐部现象，然后也分析了富人俱乐部的性质对网络整体的影响。在这些研究的基础上，本文也给出了一个能够将各方面反映利率互换市场网络性质的参数有机统合在一起，构造出了互换市场健康评估公式，能够量化评估市场的健康程度。其次，本文在原有的Newman快速算法的基础上，针对利率互换交易市场网络模型进行改进，得到加权Newman快速算法，减少了算法复杂度，并用该算法对实际交易数据构造的网络进行社团分割，得到社团结构图，通过分析社团结构的性质，得到了其代表的经济含义。最后，本文分析了利率互换的两种风险，对于重要的信用风险，通过双边违约风险定价模型和债权理论推导，得到了某个交易机构的信用风险评估公式，然后利用这个信用风险与复杂网络模型相结合，创造性地将利率互换网络拆换成债券交易网络，分析其每个节点的违约概率，得到了整个市场风险量化评估公式。
[Abstract]:The rise of complex network theory has benefited from the rapid development of modern information technology, which has been applied more and more widely in the research of biology, sociology, computer science, management science and physics. On the way of studying these subjects, the theory of complex network itself has been greatly developed. This paper mainly uses the complex network theory to study the domestic interest rate swap market, constructs the network model using the domestic actual transaction data, then analyzes and studies, has obtained the domestic interest rate swap market development state. At present, the research on the financial market by using complex network is not too much, and the research on the interest rate swap market is almost blank. This paper is a reference to the domestic interest rate swap market, and has done some basic research on the domestic interest rate swap market. Firstly, through the characteristic parameters of the average path length, aggregation coefficient, degree distribution and correlation of the complex network, this paper analyzes the compactness and liquidity of the real domestic interest rate swap market. From different angles to compare the market conditions in different periods. This paper reveals the development trend of the domestic interest rate swap market, finds out the phenomenon of the rich club in the network, and then analyzes the influence of the nature of the rich club on the whole network. On the basis of these studies, this paper also gives a parameter which can reflect the nature of interest rate swap market network, and constructs a health evaluation formula of swap market, which can quantify the health degree of the market. Secondly, on the basis of the original Newman fast algorithm, this paper improves the interest rate swap market network model and obtains the weighted Newman fast algorithm, which reduces the complexity of the algorithm. The community structure diagram is obtained by using the algorithm to segment the community structure of the network constructed by the actual transaction data, and the economic meaning of the community structure is obtained by analyzing the nature of the community structure. Finally, this paper analyzes the two kinds of risk of interest rate swap. For the important credit risk, through the pricing model of bilateral default risk and the deduction of creditor's rights theory, the credit risk evaluation formula of a trading institution is obtained. Then the credit risk is combined with the complex network model, and the interest rate swap network is replaced by the bond trading network creatively, the default probability of each node is analyzed, and the quantitative evaluation formula of the whole market risk is obtained.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;O157.5

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