人民币利率互换中风险的市场价格

运筹与管理 ›› 2011, Vol. 20 ›› Issue (6): 137-146.

人民币利率互换中风险的市场价格

陈可^1,2, 任兆璋¹

1.华南理工大学金融工程研究中心, 广东广州 510006;
2.广东省融资再担保有限公司, 广东广州 510045

收稿日期:2010-07-04 出版日期:2011-12-25
作者简介:陈可(1973-),男,湖南浏阳人,博士,研究方向为金融衍生产品定价、金融计量等;任兆璋(1942-),女,山西太原人,教授,博士生导师。
基金资助:
广东省普通高校人文社会科学重点研究基地基金资助项目(08JDTDXM79006)

The Market Price of Risk in RMB Interest Rate Swaps

CHEN-Ke ^1,2, REN Zhao-zhang¹

1. Research Center of Financial Engineering, South China University of Technology, Guangzhou 510006, China;
2. Guangdong Financing Credit Re-Guarantee Co.,Ltd., Guangzhou 510045, China

Received:2010-07-04 Online:2011-12-25

摘要/Abstract

摘要： 为研究人民币利率互换市场中流动性风险和违约风险的市场价格,运用三因子广义高斯仿射模型,同时对人民币国债市场利率、银行间质押式回购市场利率和利率互换市场利率进行模拟,并采用极大似然估计方法估计众多参数。结果发现,在目前的人民币利率互换定价过程中,流动性要素相对违约要素更加重要,市场给予流动性风险以显著的风险溢价。如采用互换利差定价法为人民币利率互换定价的话,可以以回购利率作为基准,在此基础上考虑信用风险来进行。

关键词: 人民币利率互换, 三因子广义高斯仿射模型, 信用风险

Abstract: This paper studies the market prices for the liquidity and default risks incorporated into RMB interest rate swap spreads. We apply three-factor generalized Gaussian affine model, and jointly model the RMB Treasury, repo and swap term structures. The parameters are estimated using maximum likelihood method. The result shows that in the current pricing process on RMB interest rate swaps, the liquidity factors are relatively more important than the default factors, and the market gives the liquidity risks significant risk premia. RMB interest rate swaps can be priced with Repo rates as their benchmark plus credit risk premia when applying swap spread method to them.

Key words: RMB interest rate swap, three-factor generalized gaussian affine model, credit risk

中图分类号:

F830.9

陈可, 任兆璋. 人民币利率互换中风险的市场价格[J]. 运筹与管理, 2011, 20(6): 137-146.

CHEN-Ke , REN Zhao-zhang. The Market Price of Risk in RMB Interest Rate Swaps[J]. Operations Research and Management Science, 2011, 20(6): 137-146.

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