本文選題：銀行間市場　切入點(diǎn)：跳躍擴(kuò)散模型　出處：《天津大學(xué)》2014年博士論文

【摘要】：隨著信用債券市場的蓬勃發(fā)展和新型衍生產(chǎn)品的不斷涌現(xiàn),相關(guān)的各種理論和實(shí)踐問題逐漸地引起越來越多的學(xué)者的關(guān)注。利率風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)是固定收益類證券投資中所要面臨的主要風(fēng)險(xiǎn),如何選擇恰當(dāng)?shù)睦蕼y度模型刻畫市場基準(zhǔn)利率期限結(jié)構(gòu),以及對(duì)信用債券的違約動(dòng)態(tài)特性進(jìn)行描述,并為其進(jìn)行準(zhǔn)確地定價(jià)、預(yù)測和風(fēng)險(xiǎn)管理成為金融研究領(lǐng)域中國內(nèi)外學(xué)者關(guān)注的核心課題。本文基于信用風(fēng)險(xiǎn)簡約模型框架,以動(dòng)態(tài)利率期限結(jié)構(gòu)和信用風(fēng)險(xiǎn)測度理論為基礎(chǔ),選擇銀行間債券市場短期融資券和中期票據(jù)為研究樣本,針對(duì)銀行間市場利率風(fēng)險(xiǎn)測度模型、零息票和附息票債券的定價(jià)、以及信用利差模型四個(gè)方面進(jìn)行了系統(tǒng)深入的研究。首先,針對(duì)我國銀行間債券市場,構(gòu)建多因子跳躍擴(kuò)散模型刻畫國債利率期限結(jié)構(gòu),基于卡爾曼濾波方法和遺傳算法對(duì)Vasicek純擴(kuò)散和跳躍擴(kuò)散模型的單因子、多因子等五種模型的參數(shù)進(jìn)行最優(yōu)估計(jì),通過各模型對(duì)銀行間國債利率動(dòng)態(tài)特性擬合效果的比較分析,給出在選擇利率模型刻畫利率期限結(jié)構(gòu)時(shí)的標(biāo)準(zhǔn),為后續(xù)信用債券定價(jià)中利率風(fēng)險(xiǎn)測度模型選擇提供參考準(zhǔn)則。其次,對(duì)近年來在銀行間市場迅速發(fā)展的短期融資券(零息票債券)進(jìn)行定價(jià)研究,構(gòu)建基于信用風(fēng)險(xiǎn)簡約模型框架的多因子仿射定價(jià)模型,采用卡爾曼濾波法對(duì)模型進(jìn)行參數(shù)估計(jì),通過樣本內(nèi)、外價(jià)格的測試以及蒙特卡洛模擬法對(duì)價(jià)格預(yù)測的結(jié)果來說明定價(jià)模型的效果;同時(shí)考察相同信用等級(jí)、不同發(fā)行主體的債券其信用利差的動(dòng)態(tài)特性。再次,對(duì)銀行間市場另一類蓬勃發(fā)展的附息信用債券中期票據(jù)進(jìn)行定價(jià)研究,以信用風(fēng)險(xiǎn)簡約模型為理論框架為息票債券定價(jià)并給出其價(jià)格的閉式解,運(yùn)用一階泰勒近似將定價(jià)模型進(jìn)行線性化處理,通過債券價(jià)格的擬合結(jié)果來說明模型在我國市場的有效性和泰勒線性化處理方式的合理性;并對(duì)基于獨(dú)立和共同違約風(fēng)險(xiǎn)參數(shù)下的定價(jià)模型進(jìn)行實(shí)證比較。最后,在對(duì)信用債券定價(jià)模型研究的基礎(chǔ)上,以我國銀行間中期票據(jù)為樣本,基于信用風(fēng)險(xiǎn)簡約模型框架,更為細(xì)致地討論分別以個(gè)體因子、共同因子和兩種因子相結(jié)合三種方式構(gòu)建信用債券利差的仿射期限結(jié)構(gòu)模型,通過比較三種模型下樣本債券價(jià)格的擬合及預(yù)測效果,給出利用簡約模型為信用債券定價(jià)時(shí)對(duì)信用利差模型選擇的標(biāo)準(zhǔn)。
[Abstract]:With the rapid development of credit bond market and the emergence of new derivative products, Interest rate risk and credit risk are the main risks in fixed income securities investment. How to choose the appropriate interest rate measure model to describe the market benchmark interest rate term structure, and to describe the dynamic characteristics of credit bond default, and to price it accurately. Forecasting and risk management have become the core issues of Chinese and foreign scholars in the field of financial research. Based on the framework of credit risk reduction model and the theory of term structure of dynamic interest rate and the measurement of credit risk, this paper bases on the theory of term structure of dynamic interest rate and measurement of credit risk. In this paper, the short-term financing paper and medium-term paper in the interbank bond market are selected as the research samples, and the pricing of the zero-coupon and interest-bearing bond is studied in the interest rate risk measurement model of the interbank market. First of all, aiming at the interbank bond market in China, a multi-factor jump diffusion model is constructed to describe the term structure of the interest rate of national debt. Based on Kalman filter method and genetic algorithm, the parameters of five models of pure diffusion and jump diffusion of Vasicek are estimated by single factor and multi-factor, and the dynamic characteristics of interest rate of inter-bank bond are compared and analyzed by each model. The criteria for selecting interest rate model to describe the term structure of interest rate are given, which provide a reference criterion for the selection of interest rate risk measurement model in the subsequent pricing of credit bonds. This paper studies the pricing of short-term financing bonds (zero-coupon bonds), which has been developing rapidly in the interbank market in recent years, constructs a multi-factor affine pricing model based on the credit risk reduction model framework, and estimates the parameters of the model by using Kalman filter method. The effect of the pricing model is illustrated by the test of price inside and outside the sample and the result of Monte Carlo simulation. At the same time, the dynamic characteristics of the credit spreads of bonds with the same credit rating and different issuers are investigated. Again, This paper studies the pricing of another kind of interest-bearing credit bonds in the interbank market. The simple model of credit risk is used as the theoretical framework to price coupon bonds and the closed solution of their prices is given. The first order Taylor approximation is used to linearize the pricing model. The validity of the model in our market and the rationality of Taylor linearization are illustrated by the fitting results of bond prices. Finally, on the basis of the study of credit bond pricing model, taking the interbank intermediate-term notes as the sample, based on the credit risk reduction model framework, the paper makes an empirical comparison of pricing models based on independent and common default risk parameters. The affine term structure model of credit bond interest rate difference is constructed by using individual factor, common factor and two kinds of factors in detail, and the fitting and forecasting effect of sample bond price under the three models are compared. In this paper, the criteria for selecting credit spread model for credit bond pricing by using simple model are presented.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51
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本文編號(hào)：1673321