HJM框架下流动性风险的研究  

Study of Liquidity Risk under HJM Framework

作　　者：李少华[1] 唐耘 

机构地区：[1]同济大学数学系,上海

出　　处：《金融》2013年第2期7-11,共5页Finance

摘　　要：本文主要研究了在HJM模型框架下对流动性风险的刻画。通过对HJM模型的介绍,把流动性利差作为期限结构直接进行建模,给出流动性利差所满足的动态方程,以此推导出带有流动性风险的债券的价格。同时还通过市场数据,对模型参数、流动性利差和远期利率曲线进行了估计和拟合。This paper studies the liquidity risk under the HJM framework. Through the introduction of the HJM model, we consider liquidity as a term structure and give the liquidity spread dynamic equation directly. Finally, we obtain the dynamic equation of the price of the liquidity-risk bond. Moreover, we estimate and fit the model parameters, liquidity spread and forward rate curve by the market data.

关 键 词：HJM框架 流动性风险 流动性利差 统计拟合 

分 类 号：F2[经济管理—国民经济]