利率互换市场交易结构与交易行为影响简析

由于利率互换兼有套期保值、投机和套利三种交易功能,交易动机的多样性导致了研判市场价格走势的复杂性。当前会计准则要求对IRS敞口进行市场公允价值盯市并确认当期损益,该文根据IRS历史价格波动分析,提出IRS业务压力测试的方法,并结合市场常见的交易策略和套利行为,剖析市场价格波动的影响因素,以期为客观评价及控制交易策略风险提供一些参考。

An analysis on the current trading structures and behaviors in interest rate swap market

Interest rate swap trading can be used for the purpose of hedging, speculation and arbitrage. The diversified trading motivations often result in difficult price trend projections. Current accounting rules require that IRS exposures should be marked to the market and accordingly confirm current profit or loss, This paper analyzes the historic IRS fluctuations and suggests an approach for IRS pressure tests. It then analyzes the common trading strategies and hedging activities to find the influencing factors of market fluctuations. This paper also provides references for trading risk assessment and control.