标题:
HJM框架下流动性风险的研究Study of Liquidity Risk under HJM Framework
作者:
李少华, 唐耘
关键字:
HJM框架, 流动性风险, 流动性利差, 统计拟合HJM Framework; Liquidity Risk; Liquidity Spread; Statistical Fitting
期刊名称:
《Finance》, Vol.3 No.2, 2013-04-29
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.