【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。更多还原

【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.更多还原