基于复合因子模型的OTC金融衍生品的定价

发布时间：2018-02-28 14:57

  本文关键词： OTC 金融衍生品 敏感性分析　出处：《统计与决策》2014年15期 　论文类型：期刊论文

【摘要】：文章在考虑信用状况和基准利率的影响下,通过当期收益率对产品期限、基准利率和信用等级等进行逐步线性回归,建立了OTC金融衍生品的复合因子定价模型,并进行敏感性分析。实证研究表明:复合因子定价模型根据产品期限、利率和信用状况的不同,当期收益率呈非线性变化,主要原因是由于信用状况与产品期限、基准利率三者存在相互影响。
[Abstract]:Considering the influence of credit condition and benchmark interest rate, this paper establishes a compound factor pricing model of OTC financial derivatives by stepwise linear regression of current yield to product term, benchmark interest rate and credit grade. The empirical research shows that according to the difference of product term, interest rate and credit condition, the rate of return of the current period is nonlinear, mainly because of the credit condition and the term of the product. The three benchmark interest rates affect each other.
【作者单位】： 河南牧业经济学院金融系;
【基金】：河南省2013年科技发展研究项目(132400410601)
【分类号】：F830.91;F224
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本文编号：1547773