【作者】 李海英；

【导师】 黄运成；

【作者基本信息】 同济大学 ， 技术经济及管理， 2007， 博士

【摘要】 在国际金融市场风云变幻、金融衍生产品层出不穷的今天，利率互换无论在锁定投资收益以规避利率风险方面，还是在利用相对优势套取利差以尽可能降低利息负担方面，都被国外金融界和企业界十分广泛的运用，成为一种管理利率风险的最为基本和有效的金融工具。目前，随着我国利率互换市场的快速发展，国内利率互换交易日趋活跃，对利率互换定价问题的研究变得更为重要。鉴于利率互换定价对银行间市场乃至整个金融市场发展具有的重要地位，对利率互换定价的研究，无疑具有重要的理论和现实意义，并成为关注的焦点，迫切需要解决。本文首先对具体有关利率互换产品的定价理论，包括金融衍生产品定价的基本原理、利率互换产品的基本定价模型与方法、利率互换产品定价的实证检验等研究文献进行回顾。然后对利率互换衍生产品的基本特征进行分析，包括结构特征和功能特征等，产品的定价原理即是建立在这些基本的特征之上。文章的核心部分是运用定价模型对利率互换产品的定价进行实证分析和检验。实证分析以我国利率互换市场上银行机构之间进行的互换交易为例，分四个部分进行：本文第4章首先对目前银行机构的互换定价方法进行实证分析：基于零息票定价法，在不考虑互换交易双方违约风险的条件下对以一年期定期存款利率与银行间债券7日回购利率为基准利率的互换产品进行定价。然后在无风险定价结果上加上交易对手方的风险溢价，得到互换交易的理论定价。最后将得到的实证结果与互换交易的实际成交利率进行比较，分析研究利率互换产品的定价与浮动端基准利率选择的关系。从对两笔互换交易的定价实证结果进行比较来看，对于非市场化利率——以一年期定期存款利率为基准利率的互换产品，理论报价利率与实际成交利率差异较大，报价受非市场性因素影响较多。从本章互换交易的定价实证过程也可以看出，目前银行机构采用的互换定价方法存在许多问题：在无风险定价之后对定价结果进行信用溢价调整，有可能会低估交易对手的违约风险；授信制度、保证金制度的落后影响信用溢价的估算等。第二，本文第5章采用单因素利率均衡模型对目前银行机构采用的人民币利率互换定价方法进行实证检验。首先构建单因素利率均衡模型拟合银行间债券市场的动态利率期限结构，利用利率均值回复的实证结果对以7日回购利率为基准利率的人民币利率互换交易进行无风险定价，并在定价结果上加上交易方的风险溢价，得到互换交易的理论定价，得到的互换理论利率仍略低于实际成交利率。第三，针对目前银行机构对人民币利率互换交易的定价方法(无风险互换定价+信用溢价)的不足，本文第6章把交易双方的违约风险因素包括在互换的理论定价过程之中，采用双向违约风险模型对银行间的人民币利率互换交易进行定价。首先根据根据交易对手发行债券的收益率以及对手本身情况计算双方在进行互换交易时的违约概率，然后采用双方违约风险估算模型，对违约风险条件下人民币利率互换交易进行定价实证分析。实证结果表明：与第4章和第5章的定价结果相比，双向违约风险模型对互换交易理论价格的拟合结果最好，同时对目前银行机构采用的互换定价方法中的不足之处有了较大改进。因此，本章阐述的定价方法能够提供一种较为有效的对利率互换定价的方法，可以作为实际互换交易过程中的定价参考。第四，利用前述实证结果，本文第7章首先对互换定价的结果进行全面分析，分析结果显示：利用双向违约风险模型对互换利率期限结构的拟合结果较好，但互换理论报价与金融债收益率之间价格偏离较大。第7章在分析利率互换定价的影响因素之后，结合实证研究结果，提出基于互换定价偏离的套利交易策略。最后，我们对本研究的结论以及未来进一步促进互换市场发展的政策建议进行了简要的讨论。更多还原

【Abstract】 As international financial market are changing rapidly and financial derivativesare following each other in rapid succession, interest rate swap are now widelyadopted in business and in the world of finance, not only to lock in investment profitand manage interest-rate risk but also to hedge from price spread and reduce interestobligations. IRS has been a basic and effective financial instrument to manageinterest rate risk.Nowadays, with the rapid development of national interest rate swap market,transactions in interest rate swap are more and more active and the study on interestrate swap pricing has beome more and more important. Since the interest rate swappricing plays an important role not only in the development of inter-bank market butalso in the development of whole financial market, the study on interest rate swappricing is of profound theoretical and practical significance and has become a focusthese days.In this paper we review some pricing theory on interest rate swap,including thefundamental pricing theory of derivatives, the model of interest rate swap pricing andsome empirical analysis on interest rate swap pricing. Then we describe the propertiesof interest rate swap including structural properties and funtional properties, on whichthe pricing theory are based. The main part of this paper is to price the RMB interestrate swap with some pricing models.We take those RMB Interset Rate Swap between national banks as examples tobegin our empirical investigation, which are made up of 4 parts.First, in this paper we make an empirical investigation on the pricing model ofInterest Rate swap adopted by national banks(pricing under risk-free plus creditpremium): based on Zero Coupon Pricing Methodology, we carry out case simulationand price 2 interest rate swap which are based on the fixed interest rate for 1 yeardeposits and the market interest rate R007 under the circumstance of risk-free. We getan risk-free result and plus the credit premium of transaction parties to it, then we get the formula price of swap transaction. We compare market prices of interest rateswaps with formula prices. From those empirical results of 2 examles, we show thatthere is a great price differential between formular price and market price of RMBinterest rate swao based on 1 year deposits, that is to say, as for interest rate swapbased on non-market interest rate, its pricing is more easily influenced by manynon-market factors. We could also draw the conclusion that there are many problemsin the pricing modle adopted by our commercial banks such as: underestimating theloss of default risk from swap transaction partners. And because the system of creditrating of the opposite party and guaranty money or securities.is backward, the pricingof credit premium of transaction partners is very difficult.Second, in Chapter 5 we make an empirical investigation on the pricing model ofRMB interest rate swap adopted by banks(pricing under risk-free plus creditpremium): based on single-factor term structure modle. Through the single-factorterm structure modle, we fit the dynamic term structure of interest rate of interbankmarket, we price RMB interest rate swap based on market interest rate R007 underthe circumstance of risk-free, we get an risk-free result and plus the credit premium oftransaction parties to it, then we get the formula price of swap transaction. Theempirical results are still lower than that of market price.Third, aiming at the problems in those interest rate swap pricing modles adoptedby national banks, in chapter 6 we consider the default risk of transaction partieswhen pricing the RMB interest rate swap and through two-side default risks modlewe price RMB interest rate swap. We calculate the default probablility of transactionparties based on its bond yield and through two-side default risks modle we priceRMB interest rate swap. From the empirical results, we show that compared with theformula price of chapter 4 and chapter 5, the formula price of chapter 6 is strikinglyclose to the market price. It also could prove that the two sides default risk modle ismore effective than that those pricing modles adopted by national banks when pricingRMB interest rate swap. The pricing result suggests that method expatiated in thischapter can offer a quite effective method for interest rate swap pricing, and can bemade a pricing reference in the course of realistic transactions. Fourth, in chapter 7 we make a comprehensive analysis of the pricing results ofRMB interest rate swap. We show that the fitting to swap term structure through thetwo sides risks motile is the best, but there is still a price differential between swapquotation price and yield of financial bonds. Then we examine all relevant factorsaffecting the swap pricing and combined with the empirical results we claim some setof arbitraging strategy based on the price differential.In the finality, we make a brief discussion on the conclusion in this paper and thesuggestion to promote developments of RMB interest rate swap.更多还原