本文選題：收益率曲線 + 套利策略��； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：私募基金的快速成長使得市場對高效、高收益的對沖策略需求日益旺盛，而中國債券市場的迅速擴(kuò)容為固定收益對沖策略的開發(fā)提供了充分的產(chǎn)品和平臺支持。實(shí)踐中雖有少數(shù)投資公司在逐步探索收益率曲線套利策略，但學(xué)術(shù)上仍缺乏對該策略詳盡和堅實(shí)的驗(yàn)證和風(fēng)險評估�；诖耍疚脑噲D提供一個包括收益率曲線套利策略構(gòu)建、風(fēng)險因素分析及收益評價的綜合分析框架。此外，基于兩因素Vasicek模型，本文還考察了中國國債市場的定價誤差。 本文選取了2006年7月至2012年6月共六年的國債數(shù)據(jù)進(jìn)行實(shí)證。樣本包括了銀行間及上交所所有國債。樣本區(qū)間及市場的選取是基于交易量大小（流動性）及發(fā)展情況而定。 在兩因素Vasicek模型的框架下，本文完整的推導(dǎo)了國債理論價格公式。基于此，通過一定的規(guī)則確定了最優(yōu)套保比率和無套利空間并且計算出涵蓋買賣價差、傭金、沖擊成本及回購成本在內(nèi)的交易成本，根據(jù)一定的交易規(guī)則計算出了8個子策略超額收益率并發(fā)現(xiàn)策略能夠獲得顯著正超額收益，呈尖峰右側(cè)厚尾分布，波動小、組合調(diào)整時間小于6個月等特點(diǎn)。 本文進(jìn)一步展開對8個收益率序列的分析，發(fā)現(xiàn)交易成本是超額收益的重要解釋變量，而無套利空間的變化雖然對風(fēng)險調(diào)整收益無明顯影響，但卻顯著改變了收益的概率分布。利用資本資產(chǎn)定價模型（CAPM）和Fama-French多因素模型，，本文考察了策略收益的風(fēng)險因子。我們發(fā)現(xiàn)CAPM不能很好的解釋超額收益，兩個模型對基于交易所市場的策略解釋效果尤其不佳，即便在添加了流動性風(fēng)險因子的情況下。策略收益與Fama-French因子呈非線性關(guān)系。此外，利用多因素模型，我們發(fā)現(xiàn)策略失敗概率與流動性強(qiáng)度負(fù)相關(guān)、與宏觀經(jīng)濟(jì)走勢正相關(guān)�；趥鹘y(tǒng)度量指標(biāo)和納入非線性和非正態(tài)分布的有效性檢驗(yàn)，我們發(fā)現(xiàn)收益率曲線套利策略能夠在短期和長期中產(chǎn)生顯著正超額收益，但并不能提供更具優(yōu)勢的投資收益。
[Abstract]:The rapid growth of private equity funds makes the demand for efficient and high-yield hedging strategies increasingly strong, while the rapid expansion of China's bond market provides sufficient product and platform support for the development of fixed-income hedging strategies.Although a small number of investment companies are gradually exploring the arbitrage strategy of the yield curve in practice, there is still a lack of detailed and solid verification and risk assessment of the strategy.Based on this, this paper attempts to provide a comprehensive analysis framework including the arbitrage strategy of yield curve, risk factor analysis and income evaluation.In addition, based on two-factor Vasicek model, the pricing error of Chinese government bond market is investigated.This paper selects the national debt data from July 2006 to June 2012 for empirical analysis.The sample includes all inter-bank and SSE Treasuries.Sample ranges and markets are selected based on volume size (liquidity) and developments.Under the framework of two factors Vasicek model, the theoretical price formula of treasury bonds is derived in this paper.Based on this, the optimal arbitrage ratio and no arbitrage space are determined by certain rules, and the transaction costs, including purchase and sale spread, commission, impact cost and repo cost, are calculated.According to certain trading rules, the excess return rate of 8 sub-strategies is calculated and it is found that the strategy can obtain significantly positive excess returns, with the characteristics of a thick tail distribution on the right side of a spike, a small fluctuation, and a combination adjustment time of less than 6 months.This paper further analyzes the eight return sequences and finds that transaction cost is an important explanatory variable of excess return, while the change of no arbitrage space has no obvious influence on risk adjusted return, but it changes the probability distribution of income significantly.Using the capital asset pricing model (CAPM) and Fama-French multi-factor model, this paper investigates the risk factors of strategic returns.We find that CAPM can not explain the excess return very well, and the two models are especially bad for the strategy explanation based on the exchange market, even if the liquidity risk factor is added.There is a nonlinear relationship between the policy return and the Fama-French factor.In addition, by using multi-factor model, we find that the probability of strategy failure is negatively correlated with liquidity intensity and positively correlated with macroeconomic trend.Based on the traditional metrics and the validity test including nonlinear and non-normal distribution, we find that the yield curve arbitrage strategy can produce significantly positive excess returns in the short and long term, but can not provide more advantageous investment returns.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F812.5;F832.51

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