【摘要】：復(fù)雜網(wǎng)絡(luò)理論的興起得益于當(dāng)代信息技術(shù)的飛速發(fā)展，該理論在研究生物學(xué)，社會學(xué)，計算機學(xué)，管理學(xué)和物理學(xué)等學(xué)科上得到越來越廣泛的應(yīng)用，而反過來，在研究這些學(xué)科的路上，復(fù)雜網(wǎng)絡(luò)理論本身也得到了長足的發(fā)展。 本文主要是利用復(fù)雜網(wǎng)絡(luò)理論對國內(nèi)的利率互換市場進(jìn)行研究，，使用國內(nèi)的實際交易數(shù)據(jù)構(gòu)造網(wǎng)絡(luò)模型，然后分析研究，得出了國內(nèi)利率互換市場的發(fā)展?fàn)顟B(tài)。目前利用復(fù)雜網(wǎng)絡(luò)對金融市場的研究不是太多，對于利率互換市場的研究，更是幾乎處于空白狀態(tài)，本文屬于拋磚引玉，對國內(nèi)利率互換市場做了一些基礎(chǔ)的研究。 首先，本文通過復(fù)雜網(wǎng)絡(luò)的平均路徑長度，聚集系數(shù)，度分布和相關(guān)性等特征參數(shù)來分析實際國內(nèi)利率互換交易市場的緊密性和流通性，從而從不同角度對比不同時期的市場狀況。揭示了國內(nèi)利率互換市場的發(fā)展趨勢，在統(tǒng)計分析數(shù)據(jù)的時候，發(fā)現(xiàn)了存在于網(wǎng)絡(luò)中的富人俱樂部現(xiàn)象，然后也分析了富人俱樂部的性質(zhì)對網(wǎng)絡(luò)整體的影響。在這些研究的基礎(chǔ)上，本文也給出了一個能夠?qū)⒏鞣矫娣从忱驶Q市場網(wǎng)絡(luò)性質(zhì)的參數(shù)有機統(tǒng)合在一起，構(gòu)造出了互換市場健康評估公式，能夠量化評估市場的健康程度。 其次，本文在原有的Newman快速算法的基礎(chǔ)上，針對利率互換交易市場網(wǎng)絡(luò)模型進(jìn)行改進(jìn)，得到加權(quán)Newman快速算法，減少了算法復(fù)雜度，并用該算法對實際交易數(shù)據(jù)構(gòu)造的網(wǎng)絡(luò)進(jìn)行社團(tuán)分割，得到社團(tuán)結(jié)構(gòu)圖，通過分析社團(tuán)結(jié)構(gòu)的性質(zhì)，得到了其代表的經(jīng)濟(jì)含義。 最后，本文分析了利率互換的兩種風(fēng)險，對于重要的信用風(fēng)險，通過雙邊違約風(fēng)險定價模型和債權(quán)理論推導(dǎo)，得到了某個交易機構(gòu)的信用風(fēng)險評估公式，然后利用這個信用風(fēng)險與復(fù)雜網(wǎng)絡(luò)模型相結(jié)合，創(chuàng)造性地將利率互換網(wǎng)絡(luò)拆換成債券交易網(wǎng)絡(luò)，分析其每個節(jié)點的違約概率，得到了整個市場風(fēng)險量化評估公式。
[Abstract]:The rise of complex network theory has benefited from the rapid development of modern information technology, which has been applied more and more widely in the research of biology, sociology, computer science, management science and physics. On the way of studying these subjects, the theory of complex network itself has been greatly developed. This paper mainly uses the complex network theory to study the domestic interest rate swap market, constructs the network model using the domestic actual transaction data, then analyzes and studies, has obtained the domestic interest rate swap market development state. At present, the research on the financial market by using complex network is not too much, and the research on the interest rate swap market is almost blank. This paper is a reference to the domestic interest rate swap market, and has done some basic research on the domestic interest rate swap market. Firstly, through the characteristic parameters of the average path length, aggregation coefficient, degree distribution and correlation of the complex network, this paper analyzes the compactness and liquidity of the real domestic interest rate swap market. From different angles to compare the market conditions in different periods. This paper reveals the development trend of the domestic interest rate swap market, finds out the phenomenon of the rich club in the network, and then analyzes the influence of the nature of the rich club on the whole network. On the basis of these studies, this paper also gives a parameter which can reflect the nature of interest rate swap market network, and constructs a health evaluation formula of swap market, which can quantify the health degree of the market. Secondly, on the basis of the original Newman fast algorithm, this paper improves the interest rate swap market network model and obtains the weighted Newman fast algorithm, which reduces the complexity of the algorithm. The community structure diagram is obtained by using the algorithm to segment the community structure of the network constructed by the actual transaction data, and the economic meaning of the community structure is obtained by analyzing the nature of the community structure. Finally, this paper analyzes the two kinds of risk of interest rate swap. For the important credit risk, through the pricing model of bilateral default risk and the deduction of creditor's rights theory, the credit risk evaluation formula of a trading institution is obtained. Then the credit risk is combined with the complex network model, and the interest rate swap network is replaced by the bond trading network creatively, the default probability of each node is analyzed, and the quantitative evaluation formula of the whole market risk is obtained.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.5;O157.5

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