基于量子场理论的风险调整下的地方政府债远期利率期限结构  

The term structure of forward interest rate of local government bond under risk adjustment based on quantum field theory

作　　者：冯玲 林家润 FENG Ling;LIN Jiarun(School of Economics and Management,Fuzhou University,Fuzhou 350108,China)

机构地区：[1]福州大学经济与管理学院,福州350108

出　　处：《系统工程理论与实践》2021年第4期882-891,共10页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71573043)。

摘　　要：本文利用量子场理论分别对代表无风险的国债远期利率期限结构和代表信用违约风险的利差远期利率期限结构采用二维欧几里德量子场建模,进而构建风险调整下的地方政府债远期利率期限结构.实证分析比较量子场理论下的新模型、量子场理论下的传统模型和传统金融两因子HJM模型的拟合效果,推导出新模型下地方政府债瞬时远期利率的更新过程,对地方政府债瞬时远期利率进行预测并做稳健性检验.研究结构表明:新模型的预测效果显著优于量子场理论下的传统模型和传统金融两因子HJM模型.In this paper,we use quantum field theory to model the term structure of the risk-free treasury bond forward interest rate and the spread forward interest rate which represent credit default risk,and then construct the term structure of the risk-adjusted local government bond forward interest rate.The empirical analysis compares the fitting effect of the new model under the quantum field theory,the traditional model under the quantum field theory and the traditional financial two-factor HJM model,deduces the updating process of the instantaneous forward rate of local government bond under the new model,predicts the instantaneous forward rate of local government bond and tests the robustness.The empirical results show that the prediction effect of the new model under the quantum field theory is better than the traditional model under the quantum field theory and the traditional financial two-factor HJM model,and it has passed the robustness test of the model.Through the reasonable modeling and prediction of the term structure of local government bond forward interest rate,it is of great significance for relevant departments to understand the default risk of local government bond.

关 键 词：量子场理论 利率期限结构 地方政府债远期利率 风险调整 

分 类 号：O413[理学—理论物理]