2011年3季度银行问市场运行报告

2011年3季度,银行间市场平稳运行,主要特点是：资金面前紧后松,货币市场利率先扬后抑、震荡下行;银行间国债收益率曲线先升后降;人民币对美元汇率升值步伐加快,季末成交价格显著偏离中间价;利率互换成交量创新高;外汇掉期短期限融资功能更为明显,中长期限掉期点持续上行显示人民币升值预期减弱。     

An Inquiry into the Feasibility of a Catastrophe Risk Bond Market

Catastrophe risk bond is the product of financial integration and financial innovation, which have been attached great importance by both academic circle and business circle since it was invented. After describing the theories of demand and supply for catastrophic risk bond, the paper continues to test these theories with models, and then makes a conclusion that the demand of investors for catastrophic risk bond is increasing, but the reinsurance companies have not collected the expected benefits by issuing such kind of bonds.     

可转换债券定价模型

近期,发行可转换债券成为企业比较青睐的一种融资方式。我们可以根据无套利均衡原理来确定可转换债券的价值。由于转换和赎回具有期权的性质,因此,本文试图把可转换债券的定价纳入Black—Sc hole期权定价的框架下,建立一个理论模型。我们可以根据可转换债券的有关条款及其标的股票来确定模型部分参数,并利用微分方程的数值技术来计算可转换债券的价值。     

发展我国资本市场之我见

我国从1981年重发国债起,资本市场已有20余年,对我国经济建设的资金需求做出了巨大贡献。但同时,存在一些问题亟待解决:资本市场结构不合理、投资主体不完整、资本市场与货币市场缺乏有效沟通、监管法律法规之间不协调、信息披露有水分等。只有妥善解决这些问题,我国资本市场才能健康发展。文章对此提出一些措施与建议。     

Deferred Taxes and Bond Ratings: A Canadian Case

This paper explores the usefulness of the current Canadian Institute of Chartered Accountants standard on accounting for income taxes in bond rating decisions by credit analysts. Bond rating prediction models using accounting variables generated with alternate treatment of income taxes, have been developed. The analysis indicates that additional information presented by the above standard has not contributed significantly to the bond raters' decision making process.     

PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

We propose an approach to find an approximate price of a swaption in affine term structure models. Our approach is based on the derivation of approximate swap rate dynamics in which the volatility of the forward swap rate is itself an affine function of the factors. Hence, we remain in the affine framework and well-known results on transforms and transform inversion can be used to obtain swaption prices in similar fashion to zero bond options (i.e., caplets). The method can easily be generalized to price options on coupon bonds. Computational times compare favorably with other approximation methods. Numerical results on the quality of the approximation are excellent. Our results show that in affine models, analogously to the LIBOR market model, LIBOR and swap rates are driven by approximately the same type of (in this case affine) dynamics.     

On pricing kernels and finite-state variable Heath Jarrow Morton models

Once a pricing kernel is established, bond prices and all other interest rate claims can be computed. Alternatively, the pricing kernel can be deduced from observed prices of bonds and selected interest rate claims. Examples of the former approach include the celebrated Cox, Ingersoll, and Ross (1985b) model and the more recent model of Constantinides (1992). Examples of the latter include the Black, Derman, and Toy (1990) model and the Heath, Jarrow, and Morton paradigm (1992) (hereafter HJM). In general, these latter models are not Markov. Fortunately, when suitable restrictions are imposed on the class of volatility structures of forward rates, then finite-state variable HJM models do emerge. This article provides a linkage between the finite-state variable HJM models, which use observables to induce a pricing kernel, and the alternative approach, which proceeds directly to price after a complete specification of a pricing kernel. Given such linkages, we are able to explicitly reveal the relationship between state-variable models, such as Cox, Ingersoll, and Ross, and the finite-state variable HJM models. In particular, our analysis identifies the unique map between the set of investor forecasts about future levels of the drift of the pricing kernel and the manner by which these forecasts are revised, to the shape of the term structure and its volatility. For an economy with square root innovations, the exact mapping is made transparent.     

ISOLATING THE WILD CARD OPTION

Many embedded options are difficult to value the wild card option in the Treasury bond futures contract is one of these embedded options. We illustrate how narrow theoretical bounds on the value of this option, relative to the price of the contract, may be obtained in the presence of other embedded options. Simulations suggest that the value of the wild card option is close to zero. This implies that, in this economy, a simpler pricing model of the Treasury bond futures contract, which ignores the wild card option, will result in only a small loss of accuracy.     

PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION1

This paper derives a closed-form solutin for the price of the European and semi-Amirican callable bond for two popular one-factor models of the term structure of interest rates which have been proposed by Vasicek as well as Cox, Ingersoll, and Ross. the price is derived by means of repeated use of Green's function, which, in turn, is derived from a series solution of the partial differential equation to value a discount bond. the boundary conditions which lead to the well-known formulae for the price of a discount bond are also identified. the algorithm to implement the explicit solution relies on numerical quadrature involving Green's function. It offers both higher accuracy and higher speed of computation than finite difference methods, which suffer from numerical instabilites due to discontinuous boundary values. For suitably small time steps, the proposed algorithm can also be applied to American callable bonds or to any American-type option with Green's function being explicitly known.     

我国中小企业私募债券发行与监管模式的再反思

中小企业私募债券作为一种新出现的融资工具,因其速度较快、融资成本较低等特点,为资本市场所青睐。但随着发行完成与起息期开始,该项工具在我国的运用也出现了一些值得思考的问题。美国、韩国在处理国内私募债券中,对于监管政策、信息披露政策、定价评级等方面的经验,值得我国在未来的监管改革中予以借鉴。