本文關(guān)鍵詞：利率市場改革和帶跳的HJM利率模型在有違約風(fēng)險債券、匯率上的應(yīng)用　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 利率 HJM模型 衍生品定價

【摘要】：利率是最重要的經(jīng)濟變量之一,它影響資金的供需關(guān)系,各類風(fēng)險資產(chǎn)、衍生品的定價,同時也影響包括匯率在內(nèi)的宏觀經(jīng)濟指標(biāo)。我國的社會主義市場經(jīng)濟體制的發(fā)展離不開利率市場的改革,利率管制的缺陷正在越來越明顯的顯現(xiàn)。今天,我國的利率市場發(fā)展還很初步,改革還很緩慢,積累的問題越來越嚴重,主要集中在利率雙軌制導(dǎo)致的資源分配不合理和影子銀行等可能誘發(fā)系統(tǒng)性金融風(fēng)險的問題。在這樣的形勢下,加快利率市場化改革成為了進一步改革的當(dāng)務(wù)之急,因為利率市場的特殊性許多改革都要在利率放開之后才能進行。隨著市場經(jīng)濟和經(jīng)濟全球化的發(fā)展,影響一國利率水品的因素變得越來越多,越來越復(fù)雜,利率的波動將不可避免的上升。對利率建模的難度也越來越高,HJM模型在眾多的利率模型中有難以被取代的優(yōu)點和特色,其最大的特點就是在理想市場條件下,遠期利率的漂移項能被波動項所表示。本文將介紹一般的HJM模型下利用利率衍生品反求模型參數(shù),再將一般的HJM模型推廣到了帶跳躍過程的HJM模型,并將其應(yīng)用在有違約風(fēng)險的債券價格和它與無風(fēng)險債券的收益率之差的建模,因為匯率和利率天然的關(guān)系,本文也將把帶跳的HJM模型應(yīng)用在遠期匯率的建模上,最終借此說明利率波動率對這些金融市場參數(shù)的重要性。本文將分成五個部分：第一部分介紹我國利率市場發(fā)展的進程和利率市場改革的關(guān)鍵步驟；第二部分將介紹利率建模的預(yù)備知識；第三部分將先介紹一般的HJM模型,并將其應(yīng)用在衍生品定價上,接著將介紹帶跳躍的HJM模型,探討一般HJM模型得到的結(jié)論在帶跳躍的框架下是否仍然有類似的結(jié)論；第四部分將帶跳躍的HJM模型應(yīng)用在有違約風(fēng)險債券和匯率的建模上；第三部分和第四部分都是用以說明利率波動率的上升對風(fēng)險債券的收益率差價、匯率的影響是使收益率差價擴大,貨幣貶值。最后一部分為總結(jié)。
[Abstract]:Interest rate is one of the most important economic variables, it affects the supply and demand of funds, all kinds of risky assets, derivatives pricing. At the same time, it also affects the macroeconomic indicators, including the exchange rate. The development of our socialist market economy system can not be separated from the reform of the interest rate market. The defects of interest rate control are becoming more and more obvious. China's interest rate market is still very preliminary development, the reform is still very slow, the accumulation of more and more serious problems. It mainly focuses on the unreasonable allocation of resources caused by the two-track interest rate system and the problems which may induce systemic financial risk such as shadow banking. In such a situation. Speeding up the reform of interest rate marketization has become the urgent matter of further reform, because the particularity of interest rate market many reforms can only be carried out after the liberalization of interest rate, with the development of market economy and economic globalization. The factors influencing the water quality of a country's interest rate become more and more complex, and the fluctuation of interest rate will inevitably rise. The modeling of interest rate is becoming more and more difficult. The HJM model has many advantages and characteristics which are difficult to be replaced in many interest rate models, the biggest characteristic of which is under the ideal market conditions. The drift term of forward interest rate can be expressed by the fluctuation term. This paper introduces the parameters of the reverse model using interest rate derivatives under the general HJM model. Then the general HJM model is extended to the HJM model with jump process, and it is applied to the modeling of bond price with default risk and the difference between the bond yield and the risk-free bond yield. Because of the natural relationship between exchange rate and interest rate, this paper also applies the HJM model with jump to the forward exchange rate modeling. Finally, it explains the importance of interest rate volatility to these financial market parameters. This paper will be divided into five parts: the first part introduces the process of interest rate market development and the key steps of interest rate market reform; The second part will introduce the preparatory knowledge of interest rate modeling; The third part introduces the general HJM model and applies it to the pricing of derivatives, and then introduces the HJM model with jump. The conclusion of the general HJM model is discussed whether there is a similar conclusion under the framework of jump. In 4th, the HJM model with jump is applied to the modeling of bonds and exchange rates with default risk. The third part and the 4th part are used to explain the interest rate volatility rising to the risk bond yield difference, the exchange rate influence is causes the yield difference to expand, the currency depreciation. The last part is the summary.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.5

【參考文獻】

相關(guān)期刊論文 前1條

1 王國松;中國的利率管制與利率市場化[J];經(jīng)濟研究;2001年06期

，

本文編號：1378859