本文選題：利率期限結(jié)構(gòu)　切入點(diǎn)：優(yōu)化算法　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：摘要：反應(yīng)信用質(zhì)量相同,但是期限不同的債券收益率關(guān)系的坐標(biāo)圖曲線被稱為收益率曲線結(jié)構(gòu)。本文選取國(guó)債收益率進(jìn)行研究,這是因?yàn)閲?guó)債收益率在一定程度上反映了金融市場(chǎng)基準(zhǔn)利率的水平。隨著我國(guó)利率市場(chǎng)化水平的不斷加深,進(jìn)一步構(gòu)建完善的國(guó)債收益率曲線,不論是對(duì)政府、金融機(jī)構(gòu)還是投資者都有很重要的意義。 傳統(tǒng)的靜態(tài)方法,采用樣條差值等方法,將國(guó)債即期收益率連接到一起,這種方法雖然可行但是經(jīng)濟(jì)意義不明,同時(shí)還有一些別的缺陷。而近幾年來研究較多的Nelson-Siegel模型,是否能夠直接應(yīng)用到中國(guó)市場(chǎng)也需要仔細(xì)比對(duì)。在本文中,基于可獲得的2012年交易日數(shù)據(jù),采用Nelson-Siegel類型的靜態(tài)參數(shù)模型,對(duì)于銀行間中國(guó)國(guó)債即期利率進(jìn)行期限結(jié)構(gòu)構(gòu)造。一共實(shí)踐了三種期限結(jié)構(gòu)模型,即Nelson-Siegel模型、Nelson-Siegel Svensson模型和Bjork-Christensen模型。為了擇其最優(yōu),首先要找尋每個(gè)模型的最優(yōu)結(jié)果：對(duì)于不同模型,均經(jīng)多次計(jì)算,采用RMSE值比對(duì),定下來最優(yōu)遠(yuǎn)期利率衰減τ值,其次將得到的三個(gè)模型最優(yōu)再進(jìn)行比對(duì),從而找到最適合中國(guó)利率市場(chǎng)實(shí)際情況的模型。 值得注意的是,本文計(jì)算的不僅是單獨(dú)某一天的期限結(jié)構(gòu),而是一段時(shí)間內(nèi)的期限結(jié)構(gòu)。這樣將產(chǎn)生兩個(gè)問題,首先,對(duì)于T的計(jì)算也將不僅僅滿足于單獨(dú)某一天,而是將運(yùn)算擴(kuò)展到了一段時(shí)期,需要試圖在一段時(shí)間內(nèi)定下一個(gè)普適的T值；其次,在三種靜態(tài)模型的基礎(chǔ)上,將分別得到各個(gè)模型的動(dòng)態(tài)參量,更好的使用這些動(dòng)態(tài)參量也可能成為一個(gè)未來研究的課題。 最后,本文對(duì)動(dòng)態(tài)參量的運(yùn)用進(jìn)行了一定嘗試。在模型得到的不同時(shí)期的利率期限結(jié)構(gòu)模型參數(shù)基礎(chǔ)上,采用時(shí)間序列分析。以此期望在實(shí)際金融市場(chǎng)的預(yù)測(cè)方面提供一定的借鑒和比較。
[Abstract]:Absrtact: the coordinate graph curve reflecting the same credit quality but different maturity bond yield relationship is called the yield curve structure. This is because the rate of return on treasury bonds to some extent reflects the level of the benchmark interest rate in the financial market. As the level of interest rate liberalization in China continues to deepen, we further construct a perfect curve of the yield of government bonds, whether it is for the government, Financial institutions and investors are of great significance. The traditional static method, using spline difference and other methods, connects the spot yield of treasury bonds together. Although this method is feasible but the economic significance is not clear, there are also some other defects. In recent years, many Nelson-Siegel models have been studied. Whether it can be directly applied to the Chinese market also needs careful comparison. In this paper, based on the available data of 2012 trading day, the static parameter model of Nelson-Siegel type is used. In this paper, the term structure of the spot interest rate of Chinese treasury bonds is constructed. Three term structure models, namely, Nelson-Siegel model, Nelson-Siegel Svensson model and Bjork-Christensen model, are put into practice. First of all, the optimal results of each model should be found: for different models, the optimal forward interest rate attenuation 蟿 value is determined by multiple calculations, and the RMSE value is compared, and then the three models are optimized and compared. In order to find the most suitable for the actual situation of China's interest rate market model. It is worth noting that this paper not only calculates the term structure of a single day, but also the duration structure for a certain period of time. Two problems will arise. First, the calculation of T will not only be satisfied with a single day. But to extend the operation to a period of time, we need to try to set a universal T value within a period of time. Secondly, on the basis of the three static models, the dynamic parameters of each model will be obtained. Better use of these dynamic parameters may also become a future research topic. Finally, this paper tries to use the dynamic parameters. On the basis of the model parameters of interest rate term structure in different periods, By using time series analysis, we hope to provide some reference and comparison in the actual financial market forecast.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

【共引文獻(xiàn)】

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本文編號(hào)：1593602