利率互换风险定价模型研究

【作者】 杨志兵；

【导师】 黎实；

【作者基本信息】 西南财经大学 ， 数量经济学， 2003， 硕士

【摘要】 布雷顿森林体系崩溃后，国际金融市场上汇率和利率剧烈动荡，给金融机构和公司企业带来了巨大的经营风险；OPEC(石油输出国组织)成员国所组织的石油锐减，国际债务危机的发展以及国际储蓄与投资流向的转移，冲击了银行资产的安全性和流动性。为了降低经营成本，规避资产风险，确保银行的盈利性和安全性，出现了各种创新金融工具，其中最重要、发展最快的是互换交易。而利率互换和货币互换是当今世界上最主要的两种核心互换工具。并且利率互换自1981年产生后，就超过了货币互换的发展速度，以年平均增长率超过30%的速度增长，到目前为止已经远远超过货币互换发展的速度和规模。利率互换交易之所以能获得如此迅猛的发展，主要原因在于它具有降低筹资成本，减少融资风险，简便灵活，易于操作等特点。研究这一创新工具，对我国银行业具有重要意义。加入WTO后，我国金融机构将越来越深地卷入国际金融市场，汇入全球金融一体化大潮中，这就要求我们必须对国际金融市场通行的金融工具有一个全面的认识和了解。另一方面，当前我国银行，尤其是国有商业银行普遍面临着经营成本高，资产质量差，利润下降甚至出现严重亏损的局面。要改变这种状况，最有效的方法就是大胆革新，引入创新金融工具。利率互换交易无疑是最为适宜的首选工具。研究利率互换交易对我国企业也有重要意义。当前，我国正在建立和完善社会主义市场经济体制，市场经济要求我国经济与世界经济接轨，要求我们按市场规律办事。随着人民币自由兑换的实现和利率自由化的推进，我国企业将不得不承受各种国际的、国内的经济和金融风险，不得不受到国际经济发展潮流的冲击和挑战。为此，企业迫切需要像利率互换这样降低成本和风险的金融工具。本文想从考虑交易双方信用风险的利率互换定价模型的推导来剖析利率互换。这对于以后进行利率互换交易来说是有价值的。正确<WP=3>的利率互换定价，可以从整体上防范系统风险。如果在定价中不考虑违约风险，就可能导致系统风险的扩大，这对于金融系统的运行是不利的。本文共分为五章，各章节的结构和基本内容如下：第一章是概述，共分三部分，第一部分简要地介绍了金融互换的定义、种类及其发展。第二部分析了利率互换的结构、特征及种类。利率互换的基本结构是在交易双方进行的，随着金融中介的介入，结构发生了一些变化。第三节分析了利率互换在资产负债表中的应用及利率互换对中国的借鉴意义。第二章是对利率互换的理论及实证发展的一个回顾，利率互换的理论主要是早期的关于利率互换背后经济学原理及后期的关于利率互换的定价。最早的利率互换经济学原理的论述是Bicksler和Chen的比较优势原理，Smith、Smithson和Wakeman(1988)认为，利率互换产生的原因有四个：金融套利、市场流动性、风险敞口管理、合成的金融工具; Turnbull(1987)认为，只要债券市场是完全竞争，互换的任何一方都不能获利，他把利率互换的产生归因于债券市场的不完备性; Wall 和Pringle(1989)对利率互换的所有可能的理论解释作了分析并利用250家上市公司的数据，表明没有任何单个的原理能够解释利率互换的存在，利率互换的产生应是多原因组成的。利率互换的定价主要是分为三个阶段，早期的不考虑违约风险的定价，这种定价思想也导致了目前市场的零息票定价法的产生；Solnik(1990)对单方违约定价模型做了分析；Li,Haitao（1998）运用结构式模型进行单方违约的利率互换定价；Duffie和Huang(1996)对考虑双向违约风险的利率互换定价，Huge 和 Lando(1999)利用信用级别代替风险调整后利率计算互换价格，从而扩展了Duffie 和 Huang(1996)的模型。但是由于后期利率互换的定价用到比较高深的数学知识，特别是一些偏微分方程及马尔科夫链等，这些理论很难在实践中得以运用。利率互换的实证主要是对互换买卖价差进行实证研究，分析其影响因素。Sun、Sunaresan 和Wang （1993）考察交易方信用度对互<WP=4>换价格的影响。Minton以不可赎回的公司债券和欧洲美元期货复制的资产组合为基础在互换定价中进行了实证分析，发现由于期货存在盯市的机制使得实际的利率互换的价格高于期货导出的价格。Bronw、Harlow和Smith发现期限不同的利率互换相比存在显著差别。第三章是本文的理论推导部分，本章考虑的是双向违约风险情况下利率互换的定价。全章分为三个部分，第一节提出全章定价模型推导的思路。由于利率互换的定价中要用到一系列利率数据，故第二节分析利率的期限结构，其中介绍了零息票收益率曲线和贴现因子集的求得。第三节对利率互换的违约风险特征进行了分析，并提供了利用零息票收益曲线估计违约概率的一种思路。第四节是利率互换定价模型的最终推导，考虑了两种情况，违约只发生在互换的支付日的离散违约情形和违约可能发生在互换期限任何时点的连续情形。笔者发现，对于这两种情形，定价模型的结构是一致的，唯一不同的就是两种模型考虑的违约概率计算方法的不同。这样，对于连续违约的定价模型并不需要用到数值积分估算。第四章为模拟分析。全章分为两部分，由于定价模型没有得到实际应用，故本章第一部分先?更多还原

【Abstract】 After the collapse of the Bretton Woods system, the exchange rate and interest rate fluctuated seriously in international financial markets, Financial institutions and corporations faced great risk. The oil from the OPEC (Organization of the Petroleum Exporting Countries) decreased sharply. The crisis of international debt appeared and the international savings and investment shifted to different places. All of above impacted the safety and liquidity of bank assets. In order to lower management cost, to avoid assets risk, and to ensure the profit and security, some kinds of innovative financial instruments emerged. Swaps are the most important instruments and grow the most quickly among these. And IRS (Interest Rate Swaps) and currency swaps are the kernel swaps instruments. The IRS came into being in 1981. From then on, its speed exceeded the currency swaps. It grows more than 30% averagely per year. The scale and speed surpass the present currency swaps.The main reason for so quick development in IRS transaction is the characteristics of lowering financing risk,that is flexible and easy to operate. It’s advisable for domestic banks and our corporations to use IRS. The thesis purposes to anatomize the IRS by deducing the pricing model,which is valuable to IRS transaction. Pricing the IRS accurately can keep away from system risk in whole aspect. If the credit risks are not taken into count in pricing model, the system risk will expand. It will do harms to the financial system.This thesis is divided into five chapters. The structure and basic content are as follows:Chapter One summarizes the IRS. It consists of three parts. Part I<WP=7>introduces the definition、categories and history of financial swaps. Part II analyses the structure and categories of IRS. The basic structure of IRS is between two dealers. Along with the intermediating of financial institutions, the structure has changed. Part III analyses the application of IRS in balance sheet and the significance of using it in China.Chapter Two reviews the theory and empirical evidence of IRS. The earlier theories of IRS tried to explain the economic principles. Later, some scholars did the research of pricing model. The pioneer economic principle was stated by Bicksler and Chen. They used comparative advantage principle to explain it. Smith Smithson and Wakeman considered there were four reasons to use IRS: financial arbitrage、market liquidity、risk exposure management and synthetic instruments. Turnbull believed that if the stock markets were in full competition, dealers in IRS couldn’t gain. He attributed the birth of IRS to the imperfect stock Markets. Wall and Pringle(1989) listed all possible theories and used the data of 250 corporations to analyze. The result indicated that the use of IRS came from many reasons. The pricing theory of IRS experienced three phases. The first phase is the pricing model, which didn’t take the risk into account. The thought of this pricing model resulted in the zero-coupon-pricing theory, which is used in present markets. In the second phase, Solnik(1990) deduced the pricing model with one-side default risk. In the last phase, Duffice and Huang(1996) priced the IRS with two-side default risks; Huge and Lando(1999) used credit level to substitute the risk-adjusted rate to compute the IRS price. Because of the complex formula used in the model, especially some partial differential equation and Markov chain, it made these models difficult to be used by markets participators.The empirical examination of IRS mainly studied the swaps bid-offer spread and the factors that influenced it.Sun, Sunareson and Wang(1993) examined the impact of dealers’<WP=8>credit on IRS pricing. Minton did empirical examination based on the portfolios of non-callable corporate debenture and Euro-dollar futures. She found that the real IRS price in markets was higher than that was deduced by futures. Brown, Harlow and smith found that there were differences between IRS of different terms.The author purposes to deriv更多还原