远期利率协议的定价及其市场应用  

FRA:Pricing and application

作　　者：李祖伟[1] 

机构地区：[1]上海银行金融市场部

出　　处：《中国货币市场》2007年第12期38-39,共2页China Money

摘　　要：随着人民银行《远期利率协议管理规定》的推出,远期利率协议这一新生事物,正逐渐被市场所认可,市场参与者也呈现逐步扩大趋势。该文简要介绍了远期利率协议的特点与市场现状,探讨了当前远期利率协议定价中存在的问题,并指出,积极地参与远期利率协议对于商业银行管理利率风险、丰富盈利模式等具有重要的作用。Since the People＇s Bank of China introduced the Provisions on the Administration of Forward Rate Agreement, FRA has grown from a new product to a tool increasingly accepted by the market, as shown by the expanding base of market participants. With a brief introduction to the features of FRA as well as the status quo of the FRA market, this paper discusses problems in pricing FRAs and points out that active involvement in FRA is of great significance for commercial banks to manage interest-rate risks and diversify their profiting modes.

关 键 词：远期利率协议 定价 应用 

分 类 号：F832.51[经济管理—金融学]