运筹与管理Issue(6)：137-146,10.
人民币利率互换中风险的市场价格
The Market Price of Risk in RMB Interest Rate Swaps
摘要
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 Treasur-y, 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.关键词
人民币利率互换/三因子广义高斯仿射模型/信用风险Key words
RMB interest rate swap/ three-factor generalized gaussian affine model/ credit risk分类
管理科学引用本文复制引用
陈可,任兆璋..人民币利率互换中风险的市场价格[J].运筹与管理,2011,(6):137-146,10.基金项目
广东省普通高校人文社会科学重点研究基地基金资助项目(08JDTDXM79006) （08JDTDXM79006）
