本文關(guān)鍵詞： OTC 金融衍生品 敏感性分析　出處：《統(tǒng)計與決策》2014年15期 　論文類型：期刊論文

【摘要】：文章在考慮信用狀況和基準(zhǔn)利率的影響下,通過當(dāng)期收益率對產(chǎn)品期限、基準(zhǔn)利率和信用等級等進行逐步線性回歸,建立了OTC金融衍生品的復(fù)合因子定價模型,并進行敏感性分析。實證研究表明:復(fù)合因子定價模型根據(jù)產(chǎn)品期限、利率和信用狀況的不同,當(dāng)期收益率呈非線性變化,主要原因是由于信用狀況與產(chǎn)品期限、基準(zhǔn)利率三者存在相互影響。
[Abstract]:Considering the influence of credit condition and benchmark interest rate, this paper establishes a compound factor pricing model of OTC financial derivatives by stepwise linear regression of current yield to product term, benchmark interest rate and credit grade. The empirical research shows that according to the difference of product term, interest rate and credit condition, the rate of return of the current period is nonlinear, mainly because of the credit condition and the term of the product. The three benchmark interest rates affect each other.
【作者單位】： 河南牧業(yè)經(jīng)濟學(xué)院金融系;
【基金】：河南省2013年科技發(fā)展研究項目(132400410601)
【分類號】：F830.91;F224
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本文編號：1547773