银行间债券市场浮动利率债券定价研究

发布时间：2018-01-01 22:27

本文关键词：银行间债券市场浮动利率债券定价研究　出处：《北京化工大学》2013年硕士论文　论文类型：学位论文

【摘要】：成熟的债券市场以银行间债券市场为代表的场外债券市场为主导。1997年6月成立的银行间债券市场发展极为迅速，尤其是由于近几年来金融市场的不稳定更是在今年年初出现中国债券市场一券难求的景象。目前，我国的银行间债券市场是债券市场的主体，，债券存量和交易量约占整个债券市场的90%。尽管银行间债券市场已在我国资本市场上占据了极为重要的位置,但债券定价尤其是浮动利率债券的定价一直困扰着中国债券向着高度市场化成熟化的方向发展，从而使中国债券市场的发展远远落后于本国的股票市场，并且与世界其他国家的债券市场相比，差距也越来越大。银行间债券市场浮动利率债券的定价是由基准利率、利差以及利率重置频率三部分决定的，而利差和利率重置频率在发行时就已经固定，所以债券定价的关键在于基准利率的选择。目前，中国债券市场上缺乏统一的规范的市场化基准利率，各种带有较多政策性影响因素的利率曾被广泛应用于浮动利率债券的定价，造成债券尤其是长期债券的价格不能及时随着市场利率的波动而变化，起不到有效规避风险的作用。因此，银行间债券市场迫切需要一个有效的基准利率，来指导浮动利率债券的定价。本文着眼于银行间债券市场的浮动利率债券，研究了基准利率选取的相关问题。基于NS模型的改进模型NSM模型，通过比较全国同业拆借的利率Chibor、债券回购利率以及上海银行间同业拆借的利率Shibor等可作为浮动利率债券的基准利率中呼声最高的几个，进行曲线拟合，为银行间债券市场中的浮动利率债券选取最适宜的基准利率。最近研究表明，债券回购利率以及上海银行间同业拆借的利率Shibor均具备浮动利率债券的基准利率的作用，并发挥越来越重要的作用。
[Abstract]:The mature bond market is dominated by the over-the-counter bond market represented by the interbank bond market. In June 1997, the inter-bank bond market developed rapidly. Especially because of the instability of the financial market in recent years, it is difficult to obtain a bond market in China at the beginning of this year. At present, the interbank bond market in China is the main part of the bond market. Bond stocks and trading volumes account for about 90 percent of the total bond market. Although the interbank bond market has occupied an extremely important position in the capital market of our country. However, bond pricing, especially the pricing of floating rate bonds, has been puzzling the development of Chinese bonds towards a highly market-oriented mature direction, thus making the development of China's bond market lag far behind the domestic stock market. And compared with other countries in the bond market, the gap is growing. The pricing of floating rate bonds in the interbank bond market is determined by three parts: benchmark interest rate, interest rate difference and the reset frequency of interest rate. But the interest rate difference and the interest rate reset frequency have already fixed at the time of issue, so the key to the bond pricing lies in the choice of the benchmark interest rate. At present, there is a lack of unified market-oriented benchmark interest rate in the Chinese bond market. A variety of interest rates with more policy factors have been widely used in the pricing of floating rate bonds, resulting in bond prices, especially long-term bonds, can not change with the fluctuation of market interest rates. Therefore, the interbank bond market urgently needs an effective benchmark rate to guide the pricing of floating rate bonds. This paper focuses on the floating rate bonds in the interbank bond market and studies the related problems of the selection of the benchmark interest rate. An improved model NSM model based on NS model is presented. By comparing the national interbank offered rate Chibor, bond repo rate and Shanghai interbank lending rate Shibor can be used as the floating rate bond benchmark rate of several of the highest voice. Curve fitting is carried out to select the most suitable benchmark interest rate for floating rate bonds in the interbank bond market. The bond repo rate and the Shanghai interbank offered rate (Shibor) have the function of the benchmark interest rate of the floating rate bond and play an increasingly important role.
【学位授予单位】：北京化工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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