基于结构化模型的金融衍生品流动性分析  

Liquidity Analysis of Financial Derivative Products Based on Structural Model

作　　者：李少华[1] 程远杰[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《同济大学学报（自然科学版）》2014年第11期1765-1769,共5页Journal of Tongji University:Natural Science

基　　金："十二五"国家科技支撑计划(2012BAH17B03)

摘　　要：主要用损失现金流来刻画信用风险和流动性风险给投资者可能带来的风险损失,用结构化方法给出了相应的风险损失模型,进一步给出刻画金融衍生品的利差模型,并得到相应的定价;金融合约的流动性由宏观市场及本身特点所决定,利用金融市场实际数据,借助损失模型,对债券市场的流动性进行实证分析.We know that investors of financial assets face many types of risks. The main ones are credit risk and liquidity risk. We set up models which are the valuation of credit and liquidity losses for measure of risk respectively, we provide the models which are the valuation of credit and liquidity losses respectively. And we also offer the pricing models of default financial securities with liquidity risk. In terms of liquidity of financial assets, influencing factors of liquidity include markets and its own characteristics. The study adopts the actual data of the financial markets and the loss of the model to an empirical analysis of the liquidity of the bond market.

关 键 词：结构化方法 流动性风险 信用风险 利差 

分 类 号：F830[经济管理—金融学]