【作者】 梁国巍；

【导师】 童恒庆；

【作者基本信息】 武汉理工大学 ， 应用数学， 2005， 硕士

【摘要】 本篇论文给出一种考虑双方违约风险的利率互换合约定价。合理的利率互换定价,可以从整体上防范互换交易中的系统风险,这对于以后进行利率互换交易来说是有价值的。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。本文的工作正是对利率互换风险定价方法进行进一步的探讨和研究,所作工作主要如下: 首先对利率互换相关理论进行了回顾,介绍了以比较优势理论为核心的利率互换原理的解释理论。重点阐述了利率互换定价理论,从无风险定价理论到单方违约风险定价理论至近些年发展起来的双方违约风险定价理论。 其次在目前国际金融市场通用的定价方法-零息票定价法的基础上提出考虑违约风险,在违约风险的调整中引入条件违约概率,把概率论的思想应用于风险调整。由于风险调整的系数又取决于利率互换的远期价值,故先计算各支付日的远期价值,根据多期支付日的远期价值的风险调整系数调整计算净息额,进行贴现求解互换利率。在模型的推导过程考虑了两种情况,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,通过对比研究,发现这两种情形下,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不同。 最后采用实证分析的方法,利用不同定价模型模拟出不同的互换利率数据,再对这些数据进行统计和回归分析,得出互换的不同的期限对风险定价的影响程度是不同的,长期限的利率互换的价格受到风险的影响比短期限的利率互换的价格要大一些,利率互换中交易对手的信用级别对利率互换的定价也会产生影响,信用级别高的交易方作为利率互换买方的合约的互换利率要低于信用级别低的交易方作为利率互换买方的合约的互换利率。通过实证分析使模型的可靠性和实用性得到初步检验。更多还原

【Abstract】 This thesis purposes to anatomize the Interest Rate Swaps (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 .To inquiry the new method more deeply. Some things were done in this paper.Firstly, the author reviews the theory and empirical evidence of IRS. Earlier theories of IRS tried to explain the economic principles. Later, some scholars did the research of pricing model.Secondly, Compared with traditional methodology research, it has several characteristics: (1) As to the method of research, it inherits zero-coupon-pricing-model. As for the adjustment of default risk, it introduces the conditional default probability. (2) In order to make the pricing models feasible in the current markets, the pricing model try to simplify the variables. Consider with regulate coefficient of default risk which we obtained through calculate protocol’s future value the author calculate pure interest. In the model, two situations are considered. One is the discrete situation in which dealers will default only in transaction day .The other is the continuous situation in which dealers will default in any time of the IRS term. From the two situations, the author finds that the pricing model structures are consistent. The only difference is the calculating of default probability.At the same time, At last, the author used method of regression and statistics to analysis two group of date for inspect model’s reliability and practicality .The conclusion is that the term of IRS influences the price and credit level influences the price, too.更多还原