【摘要】：隨著我國(guó)利率市場(chǎng)化改革的穩(wěn)步實(shí)施，市場(chǎng)利率而非管制利率將對(duì)金融資產(chǎn)的配置方式產(chǎn)生重要影響。當(dāng)前，在中小企業(yè)融資困難的背景下，我國(guó)急需增加債券的發(fā)行量，為中小企業(yè)提供新的融資渠道，同時(shí)可以給投資者帶來(lái)更多的投資選擇，從而完善資本市場(chǎng)的功能。因此，有必要對(duì)利率期限結(jié)構(gòu)和債券的定價(jià)進(jìn)行研宄。 本文首先分別對(duì)傳統(tǒng)和現(xiàn)代利率期限結(jié)構(gòu)理論予以介紹。在現(xiàn)代利率期限結(jié)構(gòu)理論的介紹中，重點(diǎn)介紹了均衡利率模型和無(wú)套利利率模型。其次，對(duì)于本文所研宄的Hull-White利率模型，我們將模型中的短期利率轉(zhuǎn)換成解析解的形式，確定出要估計(jì)的三個(gè)參數(shù)：瞬時(shí)遠(yuǎn)期利率，短期利率的均值回復(fù)速度以及短期利率的標(biāo)準(zhǔn)差。 在估計(jì)利率期限結(jié)構(gòu)過(guò)程中，本文在比較了四種估計(jì)方法之后，使用Nelson-Siegel模型估計(jì)遠(yuǎn)期利率的表達(dá)式，得出的結(jié)果基本符合我國(guó)國(guó)債收益率的走勢(shì)，擬合效果較好。根據(jù)Hull-White的建議，本文采用Vasicek模型估計(jì)參數(shù)利率均值回復(fù)速度和利率的標(biāo)準(zhǔn)差。在選擇瞬時(shí)利率的替代利率中，本文參照了潘冠中(2004)的研宄，采用國(guó)債回購(gòu)R007的利率，同時(shí)將Vasicek模型離散化,得出短期利率均值回復(fù)速度和標(biāo)準(zhǔn)差的估計(jì)值。 為了減少風(fēng)險(xiǎn)市場(chǎng)價(jià)格對(duì)債券定價(jià)的影響，我們對(duì)Hull-White利率模型的定價(jià)采用蒙特卡洛模擬的方法，選取了有連續(xù)三天交易數(shù)據(jù)的六只不同到期日的息票國(guó)債，得到以下結(jié)果：用模型得出的所有預(yù)測(cè)結(jié)果與實(shí)際價(jià)格之間的誤差都控制在了1.5%左右的范圍內(nèi)，，Hull-White模型適于對(duì)我國(guó)國(guó)債進(jìn)行定價(jià)。 最后，本文對(duì)Hull-White定價(jià)模型進(jìn)行了敏感性分析，主要側(cè)重在利率均值回復(fù)速度和利率標(biāo)準(zhǔn)差的這兩個(gè)參數(shù)，分析得出利率回復(fù)速度的減小和利率波動(dòng)幅度的增大比二者反方向變動(dòng)對(duì)債券價(jià)格波動(dòng)幅度帶來(lái)的影響大得多。
[Abstract]:With the steady implementation of market-oriented interest rate reform in China, market interest rate rather than regulated interest rate will have an important impact on the allocation of financial assets. At present, under the background of financing difficulties of small and medium-sized enterprises, our country urgently needs to increase the issuance of bonds, provide new financing channels for small and medium-sized enterprises, and at the same time, can bring more investment options to investors, thus perfecting the function of capital market. Therefore, it is necessary to study the term structure of interest rate and the pricing of bonds. This paper firstly introduces the traditional and modern term structure theory of interest rate. In the introduction of the modern term structure theory of interest rate, the equilibrium interest rate model and the no arbitrage interest rate model are introduced. Secondly, for the Hull-White interest rate model studied in this paper, we convert the short-term interest rate in the model into the form of analytical solution, and determine three parameters to be estimated: instantaneous forward interest rate. The average rate of return of short-term interest rates and the standard deviation of short-term interest rates. In the process of estimating the term structure of interest rate, after comparing four estimation methods, this paper uses Nelson-Siegel model to estimate the expression of forward interest rate, and the result is basically in line with the trend of national bond yield in our country, and the fitting effect is better. According to the suggestion of Hull-White, this paper uses Vasicek model to estimate the average return speed of parameter interest rate and the standard deviation of interest rate. In choosing the alternative interest rate of instantaneous interest rate, this paper refers to the study of Pan Guanzhong (2004), adopts the interest rate of national debt repurchase R007, and discretizes the Vasicek model, and obtains the estimated value of the average return speed and standard deviation of short-term interest rate. In order to reduce the influence of risk market price on bond pricing, we use Monte Carlo simulation method to price Hull-White interest rate model, and select six coupon bonds with three consecutive days of trading data. The following results are obtained: the error between all the predicted results and the actual price obtained by the model is controlled in the range of about 1.5%, and the Hull-White model is suitable for pricing the national debt in China. Finally, this paper analyzes the sensitivity of Hull-White pricing model, focusing on the two parameters of the average return speed of interest rate and the standard deviation of interest rate. The analysis shows that the decrease of interest rate recovery speed and the increase of interest rate fluctuation range have much greater influence on bond price volatility than the reverse direction of the two changes.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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