Study of Liquidity Risk under HJM Framework

作者: 李少华 * , 唐耘 :同济大学数学系;

关键词: 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

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.


文章引用: 李少华 , 唐耘 (2013) HJM框架下流动性风险的研究。 金融, 3, 7-11. doi: 10.12677/FIN.2013.32002


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