StudyofLiquidityRiskunderHJMFrameworkHJM框架下流动性风险.PDF

Finance 金融, 2013, 3, 7-11 /10.12677/fin.2013.32002 Published Online April 2013 (/journal/fin.html) Study of Liquidity Risk under HJM Framework Shaohua Li, Yun Tang Department of Mathematics, Tongji University, Shanghai Email: lixueshu@, hendryforever@163.com Received: Feb. 17th th th , 2013; revised: Mar. 8 , 2013; accepted: Mar. 27 , 2013 Copyright © 2013 Shaohua Li, Yun Tang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract: 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. Keywords: HJM Framework; Liquidity Risk; Liquidity Spread; Statistical Fitting HJM 框架下流动性风险的研究 李少华，唐 耘 同济大学数学系，上海 Email: lixueshu@, hendryforever@163.com 收稿日期：2013 年2 月17 日；修回日期：2013 年3 月8 日；录用日期：2013 年3 月27 日 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。 关键词：HJM 框架；流动性风险；流动性利差；统计拟合 1. 引言 外对 HJM 模型的研究较为成熟，Cedreece Tamagu- 对于利率期限结构的研究，Health 、Jarrow 和