基于Black-Karasinski模型的我国债券市场利率期限结构研究  

Interest Rate Term Structure of China's Bond Market Based on Black-Karasinski Model

作　　者：李勇飞[1] 侯志强[2] 

机构地区：[1]北方工业大学经济管理学院,北京100144 [2]北方工业大学理学院,北京100144

出　　处：《北方工业大学学报》2014年第1期53-57,共5页Journal of North China University of Technology

摘　　要：随着利率市场化的推进,与利率挂钩的金融资产的利率风险愈发凸显.为了控制利率风险,对利率衍生品的定价所依赖的利率期限结构的研究显得越来越重要.本文在使用多项式线条法得到即时利率期限结构的基础之上,利用三叉树模拟技术构建并校准了我国银行间债券市场Black-Karasinski利率模型,目前国内还没有利用此模型校准我国利率期限结构的研究.结果显示:利率的均值回复性好,但波动性较小,模型的动态性能较差,这可能与我国债券市场的利率结构受央行存贷款基准利率变化影响有关.With the marketization of interest rate in China, the interest rate risk of the interest rate related financial as set becomes increasingly prominent. In this article, spot rates are obtained through splines method. On this basis, the tree model is used and a Black-Karasinski model is built to simulate the dynamic term structure. The result shows that the dynamic term structure has a good mean-reverse quality while the volatility is bigger than normal. This could be the result of central bank＇s influence on the interest structure of the bond market in China.

关 键 词：Black-Karasinski模型 多项式线条法 利率期限结构 

分 类 号：F830.591[经济管理—金融学]