%0 Journal Article
%T HJM框架下流动性风险的研究<br>Study of Liquidity Risk under HJM Framework
%A 李少华
%A 唐耘
%J Finance
%P 7-11
%@ 2161-0975
%D 2013
%I Hans Publishing
%R 10.12677/FIN.2013.32002
%X <span style=\"font-family:宋体;font-size:10pt;\">本文主要研究了在</span><SPAN style=\"FONT-FAMILY: ; FONT-SIZE: 10pt\" ?>HJM</span><span style=\"font-family:宋体;font-size:10pt;\">模型框架下对流动性风险的刻画。通过对</span><SPAN style=\"FONT-FAMILY: ; FONT-SIZE: 10pt\" ?>HJM</span><span style=\"font-family:宋体;font-size:10pt;\">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。<br />
</span><SPAN style=\"FONT-FAMILY: ; FONT-SIZE: 10pt\" ?>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.</span><br />
%K HJM框架；流动性风险；流动性利差；统计拟合<br>HJM Framework
%K Liquidity Risk
%K Liquidity Spread
%K Statistical Fitting
%U http://www.hanspub.org/journal/PaperInformation.aspx?PaperID=9751