利率市场改革和带跳的HJM利率模型在有违约风险债券、汇率上的应用

发布时间：2018-01-04 14:50

本文关键词：利率市场改革和带跳的HJM利率模型在有违约风险债券、汇率上的应用　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：利率是最重要的经济变量之一,它影响资金的供需关系,各类风险资产、衍生品的定价,同时也影响包括汇率在内的宏观经济指标。我国的社会主义市场经济体制的发展离不开利率市场的改革,利率管制的缺陷正在越来越明显的显现。今天,我国的利率市场发展还很初步,改革还很缓慢,积累的问题越来越严重,主要集中在利率双轨制导致的资源分配不合理和影子银行等可能诱发系统性金融风险的问题。在这样的形势下,加快利率市场化改革成为了进一步改革的当务之急,因为利率市场的特殊性许多改革都要在利率放开之后才能进行。随着市场经济和经济全球化的发展,影响一国利率水品的因素变得越来越多,越来越复杂,利率的波动将不可避免的上升。对利率建模的难度也越来越高,HJM模型在众多的利率模型中有难以被取代的优点和特色,其最大的特点就是在理想市场条件下,远期利率的漂移项能被波动项所表示。本文将介绍一般的HJM模型下利用利率衍生品反求模型参数,再将一般的HJM模型推广到了带跳跃过程的HJM模型,并将其应用在有违约风险的债券价格和它与无风险债券的收益率之差的建模,因为汇率和利率天然的关系,本文也将把带跳的HJM模型应用在远期汇率的建模上,最终借此说明利率波动率对这些金融市场参数的重要性。本文将分成五个部分：第一部分介绍我国利率市场发展的进程和利率市场改革的关键步骤；第二部分将介绍利率建模的预备知识；第三部分将先介绍一般的HJM模型,并将其应用在衍生品定价上,接着将介绍带跳跃的HJM模型,探讨一般HJM模型得到的结论在带跳跃的框架下是否仍然有类似的结论；第四部分将带跳跃的HJM模型应用在有违约风险债券和汇率的建模上；第三部分和第四部分都是用以说明利率波动率的上升对风险债券的收益率差价、汇率的影响是使收益率差价扩大,货币贬值。最后一部分为总结。
[Abstract]:Interest rate is one of the most important economic variables, it affects the supply and demand of funds, all kinds of risky assets, derivatives pricing. At the same time, it also affects the macroeconomic indicators, including the exchange rate. The development of our socialist market economy system can not be separated from the reform of the interest rate market. The defects of interest rate control are becoming more and more obvious. China's interest rate market is still very preliminary development, the reform is still very slow, the accumulation of more and more serious problems. It mainly focuses on the unreasonable allocation of resources caused by the two-track interest rate system and the problems which may induce systemic financial risk such as shadow banking. In such a situation. Speeding up the reform of interest rate marketization has become the urgent matter of further reform, because the particularity of interest rate market many reforms can only be carried out after the liberalization of interest rate, with the development of market economy and economic globalization. The factors influencing the water quality of a country's interest rate become more and more complex, and the fluctuation of interest rate will inevitably rise. The modeling of interest rate is becoming more and more difficult. The HJM model has many advantages and characteristics which are difficult to be replaced in many interest rate models, the biggest characteristic of which is under the ideal market conditions. The drift term of forward interest rate can be expressed by the fluctuation term. This paper introduces the parameters of the reverse model using interest rate derivatives under the general HJM model. Then the general HJM model is extended to the HJM model with jump process, and it is applied to the modeling of bond price with default risk and the difference between the bond yield and the risk-free bond yield. Because of the natural relationship between exchange rate and interest rate, this paper also applies the HJM model with jump to the forward exchange rate modeling. Finally, it explains the importance of interest rate volatility to these financial market parameters. This paper will be divided into five parts: the first part introduces the process of interest rate market development and the key steps of interest rate market reform; The second part will introduce the preparatory knowledge of interest rate modeling; The third part introduces the general HJM model and applies it to the pricing of derivatives, and then introduces the HJM model with jump. The conclusion of the general HJM model is discussed whether there is a similar conclusion under the framework of jump. In 4th, the HJM model with jump is applied to the modeling of bonds and exchange rates with default risk. The third part and the 4th part are used to explain the interest rate volatility rising to the risk bond yield difference, the exchange rate influence is causes the yield difference to expand, the currency depreciation. The last part is the summary.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5

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