基于结构化模型的金融衍生品流动性分析

Liquidity Analysis of Financial Derivative Products Based on Structural Model

摘要:

主要用损失现金流来刻画信用风险和流动性风险给投资者可能带来的风险损失，用结构化方法给出了相应的风险损失模型，进一步给出刻画金融衍生品的利差模型，并得到相应的定价；金融合约的流动性由宏观市场及本身特点所决定，利用金融市场实际数据，借助损失模型，对债券市场的流动性进行实证分析.

Abstract:

We know that investors of financial assets face many types of risks. The main ones are credit risk and liquidity risk. We set up models which are the valuation of credit and liquidity losses for measure of risk respectively. we provide the models which are the valuation of credit and liquidity losses respectively. And we also offer the pricing models of default financial securities with liquidity risk. In terms of liquidity of financial assets, influencing factors of liquidity include markets and its own characteristics. The study adopts the actual data of the financial markets and the loss of the model to an empirical analysis of the liquidity of the bond market.